Making inefficient market indices efficient.
Article
Clark, E., Jokung, O. and Kassimitis, K. 2011. Making inefficient market indices efficient. European Journal of Operational Research. 209 (1), pp. 83-93. https://doi.org/10.1016/j.ejor.2010.09.013
| Type | Article |
|---|---|
| Title | Making inefficient market indices efficient. |
| Authors | Clark, E., Jokung, O. and Kassimitis, K. |
| Abstract | 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. |
| Publisher | Elsevier |
| Journal | European Journal of Operational Research |
| ISSN | 0377-2217 |
| Publication dates | |
| Feb 2011 | |
| Publication process dates | |
| Deposited | 04 Feb 2011 |
| Output status | Published |
| Digital Object Identifier (DOI) | https://doi.org/10.1016/j.ejor.2010.09.013 |
| Language | English |
Permalink -
https://repository.mdx.ac.uk/item/831q5
92
total views0
total downloads0
views this month0
downloads this month