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%.