Comparing SSD-Efficient Portfolios with a Skewed Reference Distribution
نویسندگان
چکیده
Portfolio selection models based on second-order stochastic dominance (SSD) have the advantage of providing portfolios that reflect behavior risk-averse investors without need to specify utility function. Several scholars apply SSD conditions with respect a reference distribution, typically market index, find its dominant portfolio. However, since distribution could strongly influence asset allocation, in this article, we compare two SSD-based portfolio strategies reshaping terms skewness and, consequently, variance. Through an extensive empirical analysis multiasset investment universes, empirically show dominating new skewed benchmark index generally perform better.
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ژورنال
عنوان ژورنال: Mathematics
سال: 2022
ISSN: ['2227-7390']
DOI: https://doi.org/10.3390/math11010050