Making inefficient market indices efficient.


Clark, E., Jokung, O. and Kassimitis, K. 2011. Making inefficient market indices efficient. European Journal Of Operational Research. 209 (1), pp. 83-93.
TitleMaking inefficient market indices efficient.
AuthorsClark, E., Jokung, O. and Kassimitis, K.

This paper uses the concept of Marginal Conditional Stochastic Dominance and a generalization of the 50% Portfolio Rule to develop a tractable and parsimonious methodology for constructing a second degree Stochastic Dominance (SSD) efficient portfolio from a given, inefficient index. Because the SSD approach considers the entire probability distributions of asset returns, the resulting portfolios are efficient with respect to all risk-averse, utility-maximizing investors regardless of the form of their utility functions or the distributions of asset returns.

JournalEuropean Journal Of Operational Research
Publication dates
PrintFeb 2011
Publication process dates
Deposited04 Feb 2011
Output statusPublished
Digital Object Identifier (DOI)
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