Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/145493
Authors: 
Haas, Markus
Year of Publication: 
2016
Series/Report no.: 
Beiträge zur Jahrestagung des Vereins für Socialpolitik 2016: Demographischer Wandel - Session: Empirical Finance II E12-V3
Abstract: 
This paper extends the stochastic dominance rules for normal mixture distributions derived by Levy and Kaplanski (2015). First, the portfolios under consideration are allowed to follow different regime-switching processes. Second, the results are extended from second- to fourth-order stochastic dominance, which is known to be closely related to kurtosis aversion in financial markets and allows to compare mixture distributions with the same overall variance. In particular, when a risk-free asset is available, checking for fourth-order stochastic dominance turns out to amount to a comparison of the regime-specific and overall Sharpe ratios of the portfolios under consideration.
JEL: 
C46
C58
G11
Document Type: 
Conference Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.