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- W2117500871 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." @default.
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- W2117500871 date "2011-02-01" @default.
- W2117500871 modified "2023-10-17" @default.
- W2117500871 title "Making inefficient market indices efficient" @default.
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- W2117500871 doi "https://doi.org/10.1016/j.ejor.2010.09.013" @default.
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