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An Empirical Comparison of Stochastic Dominance among Lognormal Prospects

Published online by Cambridge University Press:  06 April 2009

Hassan Tehranian  and
Billy P. Helms
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Extract

The theory of portfolio selection and diversification developed by Markowitz [22] and Tobin [33] was based primarily on the criterion of meanvariance (MV) efficiency. The objective was to select an efficient set of portfolios from which every risk averter will choose the optimal portfolio which maximizes his expected utility. The MV criterion is the appropriate rule either for the case in which the utility function is quadratic or if the returns are normally distributed and risk aversion is assumed.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 17 , Issue 2 , June 1982 , pp. 217 - 226
Copyright
Copyright © School of Business Administration, University of Washington 1982

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References

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