Clark, Ephraim; Jokung, Octave; Kassimatis, Konstantinos - In: European Journal of Operational Research 209 (2011) 1, pp. 83-93
This paper uses the concept of Marginal Conditional Stochastic Dominance and a generalization of the 50% Portfolio Rule to develop a tractable and parsimonious methodology for constructing a second degree Stochastic Dominance (SSD) efficient portfolio from a given, inefficient index. Because the...
