| Article ID: | iaor2001193 |
| Country: | United States |
| Volume: | 45 |
| Issue: | 12 |
| Start Page Number: | 1724 |
| End Page Number: | 1727 |
| Publication Date: | Dec 1999 |
| Journal: | Management Science |
| Authors: | Clark Ephraim, Jokung Octave |
| Keywords: | investment, decision: applications |
In this note we analyze the composition of an optimal portfolio by considering the cumulative conditional expected outcome of two dependent assets. We develop a conditional stochastic dominance relation and show that for any concave von Neumann–Morgenstern utility function, the proportion of wealth invested in the dominant asset will be greater than 50%.