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Stochastic dominance efficiency analysis of diversified portfolios: classification, comparison and refinements

โœ Scribed by Andrey Lizyayev


Book ID
113060847
Publisher
Springer US
Year
2012
Tongue
English
Weight
672 KB
Volume
196
Category
Article
ISSN
0254-5330

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Second degree stochastic dominance has been proposed also as a criterion (Levy and Sarnet, 1972). It is defined by Z,F,(r) = Z,Fo(r) far all r , with the strict inequality holding for at least one value of return, r. This report uses first degree dominance since first degree dominance implies second