Asset proportions, stochastic dominance and the 50% rule

Article

Clark, E. and Jokung, O. 1999. Asset proportions, stochastic dominance and the 50% rule. Management Science. 45 (12), pp. 1724-1737.
TypeArticle
TitleAsset proportions, stochastic dominance and the 50% rule
AuthorsClark, E. and Jokung, O.
Abstract

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%.

PublisherInstitute for Operations Research and the Management Sciences
JournalManagement Science
ISSN0025-1909
Electronic1526-5501
Publication dates
PrintDec 1999
Publication process dates
Deposited08 Mar 2010
Output statusPublished
Web address (URL)http://search.ebscohost.com/login.aspx?direct=true&db=bth&AN=2769367&site=ehost-live
LanguageEnglish
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