RT Journal Article
SR Electronic
T1 Finding Better Securities while Holding Portfolios: <em>Is Stochastic Dominance the Answer?</em>
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 31
OP 42
DO 10.3905/jpm.2010.37.1.031
VO 37
IS 1
A1 Haim Shalit
YR 2010
UL https://pm-research.com/content/37/1/31.abstract
AB 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.TOPICS: Portfolio construction, portfolio theory, risk management