Dominance and further toDecreasing Absolute and Increasing Relative Risk Aversion Stochastic Dominance. The efficient sets …

admissible, whereas our test classifies the portfolio as significantly non-optimal for every risk averter …

In this paper we first extend the theory of almost stochastic dominance (ASD) (for risk averters) to include the ASD … for risk-seeking investors. We then study the relationship between ASD for risk seekers and ASD for risk averters …

Using high-frequency data, we decompose the time-varying beta for stocks into beta for continuous systematic risk and … beta for discontinuous systematic risk. Estimated discontinuous betas for S&P500 constituents between 2003 and 2011 … discontinuous betas in portfolios of stocks as the number of holdings increase. We show that discontinuous risk dissipates faster …

We consider the continuous-time portfolio optimization problem of an investor with constant relative risk aversion who … checks for various levels of risk-aversion, expected jump size, and jump intensity. …

The problem of portfolio allocation in the context of stocks evolving in random environments, that is with volatility …