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Stochastic Dominance and the Investment Horizon With Riskless Assets

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  • Haim Levy
  • Azriel Levy

Abstract

This paper analyses the relationship between the efficient sets of investment portfolios and the investment holding period. Investors are allowed to hold risky assets as well as the riskless asset. The main result is that dominance in each period implies dominance in the multiperiod case. This finding holds with respect to first, second and third degree stochastic dominance. The riskless interest rate may vary from one period to another without changing the results of this paper.

Suggested Citation

  • Haim Levy & Azriel Levy, 1982. "Stochastic Dominance and the Investment Horizon With Riskless Assets," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 49(3), pages 427-438.
    • Handle: RePEc:oup:restud:v:49:y:1982:i:3:p:427-438.
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    File URL: http://hdl.handle.net/10.2307/2297366
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    Cited by:

    1. Goodman, Joshua Samuel & Goodman, Lucas & Goodman, Sarena & Goodman, Allen C., 2014. "A Few Goodmen: Surname-Sharing Co-Authors in Economics," Scholarly Articles 22805379, Harvard University Department of Economics.

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