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.
| Type | Article |
|---|---|
| Title | Asset proportions, stochastic dominance and the 50% rule |
| Authors | Clark, 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%. |
| Publisher | Institute For Operations Research and the Management Sciences (INFORMS) |
| Journal | Management Science |
| ISSN | 0025-1909 |
| Electronic | 1526-5501 |
| Publication dates | |
| Dec 1999 | |
| Publication process dates | |
| Deposited | 08 Mar 2010 |
| Output status | Published |
| Web address (URL) | http://search.ebscohost.com/login.aspx?direct=true&db=bth&AN=2769367&site=ehost-live |
| Language | English |
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