A note on asset proportions, stochastic dominance, and the 50% rule

被引：12

作者：

Clark, E

Jokung, O

机构：

[1] Middlesex Univ, Sch Business, London NW4 4BT, England

[2] Catholic Univ, EDHEC Grad Sch Management, Lille, France

来源：

MANAGEMENT SCIENCE | 1999年 / 45卷 / 12期

关键词：

stochastic dominance; conditional density function; optimal proportion; risk aversion; demand problem;

D O I：

10.1287/mnsc.45.12.1724

中图分类号：

C93 [管理学];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ;

摘要：

In this note we analyze the composition of an optimal portfolio by considering the cumulative conditional expected outcome of two dependent assets. We develop a conditional stochastic dominance relation and show that for any concave von Neumann-Morgenstern utility function, the proportion of wealth invested in the dominant asset will be greater than 50%.

引用

页码：1724 / 1727

页数：4

共 50 条

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