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Article

Finding Better Securities while Holding Portfolios: Is Stochastic Dominance the Answer?

Haim Shalit
The Journal of Portfolio Management Fall 2010, 37 (1) 31-42; DOI: https://doi.org/10.3905/jpm.2010.37.1.031
Haim Shalit
is a professor in the Department of Economics at Ben-Gurion University of the Negev in Beer-Sheva, Israel.
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Abstract

Investment managers always look for securities to improve their portfolio performance and a common mechanism is the mean-variance (MV) model. As an alternative, Shalit proposes using marginal conditional stochastic dominance (MCSD), which ensures that all risk-averse investors benefit from the selection process by establishing the relative preference among stocks conditional on holding a specific portfolio. He describes the basic MCSD rules and applies them to large portfolios. The resulting preferred stocks are compared to the selection obtained using the mean-variance criterion and the CAPM.

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The Journal of Portfolio Management: 37 (1)
The Journal of Portfolio Management
Vol. 37, Issue 1
Fall 2010
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Finding Better Securities while Holding Portfolios: Is Stochastic Dominance the Answer?
Haim Shalit
The Journal of Portfolio Management Oct 2010, 37 (1) 31-42; DOI: 10.3905/jpm.2010.37.1.031

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Finding Better Securities while Holding Portfolios: Is Stochastic Dominance the Answer?
Haim Shalit
The Journal of Portfolio Management Oct 2010, 37 (1) 31-42; DOI: 10.3905/jpm.2010.37.1.031
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  • Article
    • Abstract
    • THE MARGINAL CONDITIONAL STOCHASTIC DOMINANCE MODEL
    • AN EXAMPLE
    • AN APPLICATION
    • THE TWO-PARAMETER APPROACH TO MCSD
    • COMPARING MCSD TO STANDARD PRACTICES
    • CONCLUSION
    • ENDNOTES
    • REFERENCES
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  • PDF (Subscribers Only)

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