Making inefficient market indices efficient.
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Official URL: http://dx.doi.org/10.1016/j.ejor.2010.09.013
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This paper uses the concept of Marginal Conditional Stochastic Dominance and a generalization of the 50% Portfolio Rule to develop a tractable and parsimonious methodology for constructing a second degree Stochastic Dominance (SSD) efficient portfolio from a given, inefficient index. Because the SSD approach considers the entire probability distributions of asset returns, the resulting portfolios are efficient with respect to all risk-averse, utility-maximizing investors regardless of the form of their utility functions or the distributions of asset returns.
|Research Areas:||Business School > Accounting and Finance|
|Citations on ISI Web of Science:||2|
|Deposited On:||04 Feb 2011 06:08|
|Last Modified:||02 Jul 2014 11:27|
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