Efficient Diversification According to Stochastic Dominance Criteria
نویسندگان
چکیده
منابع مشابه
Efficient Diversification According to Stochastic Dominance Criteria
T paper develops the first operational tests of portfolio efficiency based on the general stochastic dominance (SD) criteria that account for an infinite set of diversification strategies. The main insight is to preserve the cross-sectional dependence of asset returns when forming portfolios by reexpressing the SD criteria in T -dimensional Euclidean space, with elements representing rates of r...
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ژورنال
عنوان ژورنال: Management Science
سال: 2004
ISSN: 0025-1909,1526-5501
DOI: 10.1287/mnsc.1040.0284