IMPROVING THE MEAN‐VARIANCE CRITERION USING STOCHASTIC DOMINANCE
作者:
Gerald J. LaCava,
期刊:
Decision Sciences
(WILEY Available online 1976)
卷期:
Volume 7,
issue 1
页码: 29-39
ISSN:0011-7315
年代: 1976
DOI:10.1111/j.1540-5915.1976.tb00655.x
出版商: Blackwell Publishing Ltd
数据来源: WILEY
摘要:
ABSTRACTThe increased importance of the nonnormal stable Paretian distributions necessitates the development of an investment criterion which does not depend upon the mean and variance. This paper develops a criterion based upon the location and scale parameters of a probability distribution. The rationale of the criterion is established using stochastic dominance orderings of probability distributions. The paper also presents estimators for the location and scale parameters.
点击下载:
PDF
(463KB)
返 回