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PORTFOLIO SELECTION PROBLEMS VIA THE BIVARIATE CHARACTERIZATION OF STOCHASTIC DOMINANCE RELATIONS 1
Author(s) -
Kijima Masaaki,
Ohnishi Masamitsu
Publication year - 1996
Publication title -
mathematical finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.98
H-Index - 81
eISSN - 1467-9965
pISSN - 0960-1627
DOI - 10.1111/j.1467-9965.1996.tb00116.x
Subject(s) - bivariate analysis , stochastic dominance , portfolio , selection (genetic algorithm) , econometrics , dominance (genetics) , economics , characterization (materials science) , mathematical economics , computer science , mathematics , financial economics , statistics , machine learning , biochemistry , chemistry , materials science , gene , nanotechnology
Stochastic dominance (SD) is a very useful tool in various areas of economics and finance. the purpose of this paper is to provide the results of SD relations developed in other areas such as applied probability which, we believe, are useful for many portfolio selection problems. In particular, the bivariate characterization of SD relations given by Shanthikumar and Yao (1991) is a powerful tool for the demand and the shift effect problems in optimal portfolios. the method enables one to extend many results that hold for the case where the underlying lying assets are statistically independent to the dependent case directly.