IDEAS home Printed from https://ideas.repec.org/a/cup/jfinqa/v13y1978i01p1-13_00.html
   My bibliography  Save this article

On Multiperiod Stochastic Dominance

Author

Listed:
  • Huang, C. C.
  • Vertinsky, I.
  • Ziemba, W. T.

Abstract

Following Markowitz's [11] pioneering work on portfolio selection, it is customary to consider an individual's choice among several risky assets as a two-step procedure. First, given some general characteristics concerning his preferences, the decision maker chooses an efficient set of portfolios independent of his specific preference assessment. Secondly, an optimal portfolio is chosen from the efficient set given the individual's specific preferences.

Suggested Citation

  • Huang, C. C. & Vertinsky, I. & Ziemba, W. T., 1978. "On Multiperiod Stochastic Dominance," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 13(1), pages 1-13, March.
    • Handle: RePEc:cup:jfinqa:v:13:y:1978:i:01:p:1-13_00
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S0022109000004312/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Barbora Petrová, 2019. "Multistage portfolio optimization with multivariate dominance constraints," Computational Management Science, Springer, vol. 16(1), pages 17-46, February.
    2. Jeffrey, Scott R., 1987. "The Application Of Stochastic Dominance Techniques To Multi-Period Problems: Issues And Implications," Staff Papers 13547, University of Minnesota, Department of Applied Economics.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:jfinqa:v:13:y:1978:i:01:p:1-13_00. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/jfq .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.