Revisiting Almost Marginal Conditional Stochastic Dominance

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Title:	Revisiting Almost Marginal Conditional Stochastic Dominance
Authors:	Chen, Tzu-Ying;Tsai, An-Mei;Tzeng, Larry Y.
Keywords:	Marginal conditional stochastic dominance;Almost stochastic dominance;Efficient portfolios
Date:	2022-08
Issue Date:	2023-04-28 16:20:23 (UTC+8)
Publisher:	Elsevier BV
Abstract:	In this paper, we propose a new notion of the almost marginal conditional stochastic dominance rule by confining the ratio of marginal utility to exclude decision makers with extreme preferences. We show that this new rule can be implemented by linear programming. Finally, we demonstrate the application of this new rule by constructing a set of efficient portfolios characterized by US 10-year Treasuries, the Dow Jones US index, the Dow Jones US Islamic index and the Dow Jones Emerging Markets Islamic index.
Relation:	The Quarterly Review of Economics and Finance 85, p.260-269
DOI:	10.1016/j.qref.2022.03.010
Appears in Collections:	[Graduate Institute & Department of Insurance Insurance] Journal Article

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