Article ID: | iaor20073865 |
Country: | United States |
Volume: | 50 |
Issue: | 10 |
Start Page Number: | 1390 |
End Page Number: | 1406 |
Publication Date: | Oct 2004 |
Journal: | Management Science |
Authors: | Kuosmanen Timo |
Keywords: | programming: mathematical |
This paper develops the first operational tests of portfolio efficiency based on the general stochastic dominance (SD) criteria that account for an infinite set of diversification strategies. The main insight is to preserve the cross-sectional dependence of asset returns when forming portfolios by re-expressing the SD criteria in