A Study on α-SD Criteria and M-R Criteria in Portfolio Analysis
Xiaojuan Liu · Journal of Shanghai University of Electric Power · 2011
The α-Stochastic Dominance and dual Stochastic Dominance in the portfolio analysis are studied.The criteria of α-Stochastic Dominance and dual Stochastic Dominance are introduced.With the help of Von Neumann Moryenstern utility function theory and Yarri dual theory,their analysis properties are studied and the notion of Stochastic Dominance Efficient(or weakly efficient) is proposed.The relationship between the α-Stochastic Dominance and Mean-Risk is discussed.