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Safety-First, Stochastic Dominance, and Optimal Portfolio Choice

Published online by Cambridge University Press:  06 April 2009

Vijay S. Bawa
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Extract

Stochastic Dominance rules are playing an increasingly prominent role in the literature on choice under uncertainty. Their foundation is the mainstream VonNeumann-Morgenstern expected utility paradigm. Their essence is to provide an admissible set of choices under restrictions on the utility functions that follow from prevalent and appealing modes of economic behavior: The admissible sets generated are useful for a large group of individual decision makers and the optimal choice for an individual can then be obtained from among the smaller set of admissible choices.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 13 , Issue 2 , June 1978 , pp. 255 - 271
Copyright
Copyright © School of Business Administration, University of Washington 1978

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References

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