Portfolio selection problems via the bivariate characterization of stochastic dominance relations

Mathematical Finance

Volumn 6, Issue 3, 1996, Pages 237-277

  Kijima, Masaaki ^a   Ohnishi, Masamitsu ^b  

^a UNIVERSITY OF TSUKUBA   (Japan)

^b TOHOKU UNIVERSITY   (Japan)

Author keywords

Bivariate characterization; Optimal proportion; Risk aversion; Shift effect problem; Stochastic dominance

Indexed keywords

EID: 0030557177     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1467-9965.1996.tb00116.x     Document Type: Article

References (32)

1. HADAR, J., and T. K. SEO (1988): "Asset Proportions in Optimal Portfolios," Rev. Econ. Stud., 55, 459-468.
2. HADAR, J., and T. K. SEO (1990): "The Effects of Shifts in a Return Distribution on Optimal Portfolios," Int. Econ. Rev., 31, 721-736.
3. HARDY, G. H., J. E. LITTLEWOOD and G. PÓLYA (1952): Inequalities, 2nd ed. Cambridge: Cambridge University Press.
4. HUANG, C. C., D. KIRA and I. VERTINSKY (1978): "Stochastic Dominance Rules for Multi-Attribute Utility Functions," Rev. Econ. Stud., 45, 611-615.
5. HUANG, C. F., and R. H. LITZENBERGER (1988): Foundations for Financial Economics. Englewood Cliffs, NJ: Prentice Hall.
6. HULL, J. (1989): Options, Futures, and Other Derivative Securities. Englewood Cliffs, NJ: Prentice Hall.
7. INGERSOLL, J. E., Jr. (1987): Theory of Financial Decision Making. Totowa, NJ: Rowman and Littlefield.
8. JEWITT, I. (1987): "Risk Aversion and the Choice between Risky Prospects: The Preservation of Comparative Statics Results," Rev. Econ. Stud., 54, 73-85.
9. JEWITT, I. (1989): "Choosing between Risky Prospects: The Characterization of Comparative Statics Results, and Location Independent Risk," Management Sci., 35, 60-70.
10. KARLIN, S. (1968): Total Positivity, Vol. I. Stanford: Stanford University Press.
11. KARLIN, S., and A. NOVIKOV (1963): "Generalized Convex Inequalities," Pacific J. Math., 13, 1251-1279.
12. KIJIMA, M. (1989): "Uniform Monotonicity of Markov Processes and Its Related Properties," J. Oper. Res. Soc. Jpn., 32, 475-490.
13. KIJIMA, M. (1996): Markov Chains for Stochastic Modeling. London: Chapman Hall, forthcoming.
14. KIJIMA, M., and M. OHNISHI (1992): "Addendum to the Bivariate Characterization of Stochastic Orders," Technical Report No. 92-11, Graduate School of Systems Management, University of Tsukuba, Tokyo.
15. KIJIMA, M., and M. OHNISHI (1993): "Mean-Risk Analysis of Risk Aversion and Wealth Effects on Optimal Portfolios with Multiple Investment Opportunities," Ann. Oper. Res., 45, 147-163.
16. KIRA, D., and W. T. ZIEMBA (1980): "The Demand for a Risky Asset," Management Sci., 26, 1158-1165.
17. KROLL, Y., and H. LEVY (1980): "Stochastic Dominance Criteria: A Review and Some New Evidence," in Research in Finance, Vol. 2. Greenwich, CT: JAI Press, 163-227.
18. LANDSBERGER, M., and I. MEILIJSON (1990): "Demand for Risky Financial Assets: A Portfolio Analysis," J. Econ. Theory, 50, 204-213.
19. LEVY, H. (1977): "The Definition of Risk: An Extension," J. Econ. Theory, 14, 232-234.
20. LEVY, H. (1992): "Stochastic Dominance and Expected Utility: Survey and Analysis," Management Sci., 38, 555-593.
21. MAKOWSKI, A. R. (1994): "On an Elementary Characterization of the Increasing Convex Ordering, with an Application," J. Appl. Probab., 31, 834-840.
22. MILGROM, P. R. (1981): "Good News and Bad News: Representation Theorems and Applications," Bell J. Econ., 12, 380-391.
23. ROSS, S. M. (1983): Stochastic Processes. New York: Wiley.
24. ROTHSCHILD, M., and J. E. STIGLITZ (1970): "Increasing Risk. I. A Definition," J. Econ. Theory, 2, 225-243.
25. ROTHSCHILD, M., and J. E. STIGLITZ (1971): "Increasing Risk. II. Its Economic Consequences," J. Econ. Theory, 3, 66-84.
26. SAMUELSON, P. A. (1967): "General Proof That Diversification Pays," J. Financial Quant. Anal., 2, 1-13.
27. SHAKED, M., and J. G. SHANTHIKUMAR (1994): Stochastic Orders and Their Applications. San Diego, CA: Academic Press.
28. SHANTHIKUMAR, J. G., and D. D. YAO (1991): "Bivariate Characterization of Some Stochastic Order Relations," Adv. Appl. Probab., 23, 642-659.
29. STOYAN, D. (1983): Comparison Methods for Queues and Other Stochastic Models (edited with revision by D. J. Daley). Chichester: Wiley.
30. STRASSEN, V. (1965): "The Existence of Probability Measures with Given Marginals," Ann. Math. Statist., 36, 423-439.
31. WHITT, W. (1980): "Uniform Conditional Stochastic Order," J. Appl. Probab., 17, 112-123.
32. WHITT, W. (1985): "Uniform Conditional Variability Ordering on Probability Distribution," J. Appl. Probab., 22, 619-633.