search query: @author Jean, W. H. / total: 5
reference: 1 / 5
« previous | next »
| Author: | Jean, W. H. |
| Title: | Stochastic dominance optimums and the capital asset pricing model. |
| Journal: | Journal of Business Finance and Accounting
1992 : JAN, VOL. 19:1, p. 103-112 |
| Index terms: | STOCHASTIC PROCESSES CAPITAL ASSET PRICING FINANCIAL MODELS PORTFOLIO INVESTMENT |
| Language: | eng |
| Abstract: | In this paper a necessary condition using upper bounds, means, and variances of portfolio return distributions for any degree of stochastic dominance ranking is explored. If this condition is met by specific portfolio of securities then that portfolio also meets a set of marginal relationships among means, variances, and covariances similar to those expressed in the Capital Asset Pricing Model equation. Existence of an optimum stochastic dominance portfolio is shown to imply the CAPM. Two appendixes ("Valuation of Choice of Stabilization/ Liquidation" and "Market Value of Assets") are attached. |
« previous | next »
SCIMA