Revisiting almost marginal conditional stochastic dominance
Journal
Quarterly Review of Economics and Finance
Journal Volume
85
Pages
260-269
Date Issued
2022
Author(s)
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. © 2022 Board of Trustees of the University of Illinois
Subjects
Almost stochastic dominance; Efficient portfolios; Marginal conditional stochastic dominance
Type
journal article