IMPROVING THE MEAN-VARIANCE CRITERION USING STOCHASTIC DOMINANCE |
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Authors: | Gerald J. LaCava |
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Abstract: | The 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. |
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