A Note on Asset Proportions, Stochastic Dominance, and the 50% Rule

Published Online:https://doi.org/10.1287/mnsc.45.12.1724

References

  • Fishburn P. C., Vickson R. G., Whitmore G. A., Findlay M. C. Theoretical foundations of stochastic dominance. Stochastic Dominance (1978) (Lexington Books, Boston, MA) Google Scholar
  • Hadar J., Seo T. K. Asset proportions in optimal portfolios. Rev. Econom. Stud. (1988) 55:459–468CrossrefGoogle Scholar
  • Kijima M. The generalized harmonic mean and a portfolio problem with dependent assets. Theory and Decision (1997) 43:71–87CrossrefGoogle Scholar
  • Kijima M., Ohnishi M. Portfolio selection problems via the bivariate characterization of stochastic dominance relations. Math. Finance (1996) 6:237–277CrossrefGoogle Scholar
  • Landsberger M., Meilijson I. Demand for risky financial assets: A portfolio analysis. J. Econom. Theory (1990) 50:204–213CrossrefGoogle Scholar
  • McEntire P. L. Portfolio theory for independent assets. Management Sci. (1984) 30:952–963LinkGoogle Scholar
  • Rothschild M., Stiglitz J. E. Increasing risk II: Its economic applications. J. Econom. Theory (1971) 3:66–84CrossrefGoogle Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.