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On Multiperiod Stochastic Dominance

Published online by Cambridge University Press:  06 April 2009

C. C. Huang ,
I. Vertinsky  and
W. T. Ziemba
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Extract

Following Markowitz's [11] pioneering work on portfolio selection, it is customary to consider an individual's choice among several risky assets as a two-step procedure. First, given some general characteristics concerning his preferences, the decision maker chooses an efficient set of portfolios independent of his specific preference assessment. Secondly, an optimal portfolio is chosen from the efficient set given the individual's specific preferences.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 13 , Issue 1 , March 1978 , pp. 1 - 13
Copyright
Copyright © School of Business Administration, University of Washington 1978

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References

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