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- Marginal_conditional_stochastic_dominance abstract "In finance, marginal conditional stochastic dominance is a condition under which a portfolio can be improved in the eyes of all risk-averse investors by incrementally moving funds out of one asset (or one sub-group of the portfolio's assets) and into another. Each risk-averse investor is assumed to maximize the expected value of an increasing, concave von Neumann-Morgenstern utility function. All such investors prefer portfolio B over portfolio A if the portfolio return of B is second-order stochastically dominant over that of A; roughly speaking this means that the density function of A's return can be formed from that of B's return by pushing some of the probability mass of B's return to the left (which is disliked by all increasing utility functions) and then spreading out some of the density mass (which is disliked by all concave utility functions).If a portfolio A is marginally conditionally stochastically dominated by some incrementally different portfolio B, then it is said to be inefficient in the sense that it is not the optimal portfolio for anyone. Note that this context of portfolio optimization is not limited to situations in which mean-variance analysis applies.The presence of marginal conditional stochastic dominance is sufficient, but not necessary, for a portfolio to be inefficient. This is because marginal conditional stochastic dominance only considers incremental portfolio changes involving two sub-groups of assets — one whose holdings are decreased and one whose holdings are increased. It is possible for an inefficient portfolio to not be second-order stochastically dominated by any such one-for-one shift of funds, and yet to by dominated by a shift of funds involving three or more sub-groups of assets.".
- Marginal_conditional_stochastic_dominance wikiPageID "30725936".
- Marginal_conditional_stochastic_dominance wikiPageLength "3831".
- Marginal_conditional_stochastic_dominance wikiPageOutDegree "10".
- Marginal_conditional_stochastic_dominance wikiPageRevisionID "537013131".
- Marginal_conditional_stochastic_dominance wikiPageWikiLink Category:Finance.
- Marginal_conditional_stochastic_dominance wikiPageWikiLink Density_function.
- Marginal_conditional_stochastic_dominance wikiPageWikiLink Expected_utility_hypothesis.
- Marginal_conditional_stochastic_dominance wikiPageWikiLink Finance.
- Marginal_conditional_stochastic_dominance wikiPageWikiLink Linear_programming.
- Marginal_conditional_stochastic_dominance wikiPageWikiLink Modern_portfolio_theory.
- Marginal_conditional_stochastic_dominance wikiPageWikiLink Probability_density_function.
- Marginal_conditional_stochastic_dominance wikiPageWikiLink Rate_of_return.
- Marginal_conditional_stochastic_dominance wikiPageWikiLink Return_(finance).
- Marginal_conditional_stochastic_dominance wikiPageWikiLink Risk_aversion.
- Marginal_conditional_stochastic_dominance wikiPageWikiLink Shlomo_Yitzhaki_(economics).
- Marginal_conditional_stochastic_dominance wikiPageWikiLink Stochastic_dominance.
- Marginal_conditional_stochastic_dominance wikiPageWikiLink Von_Neumann-Morgenstern_utility_function.
- Marginal_conditional_stochastic_dominance wikiPageWikiLinkText "Marginal conditional stochastic dominance".
- Marginal_conditional_stochastic_dominance hasPhotoCollection Marginal_conditional_stochastic_dominance.
- Marginal_conditional_stochastic_dominance wikiPageUsesTemplate Template:Reflist.
- Marginal_conditional_stochastic_dominance subject Category:Finance.
- Marginal_conditional_stochastic_dominance hypernym Condition.
- Marginal_conditional_stochastic_dominance type Disease.
- Marginal_conditional_stochastic_dominance comment "In finance, marginal conditional stochastic dominance is a condition under which a portfolio can be improved in the eyes of all risk-averse investors by incrementally moving funds out of one asset (or one sub-group of the portfolio's assets) and into another. Each risk-averse investor is assumed to maximize the expected value of an increasing, concave von Neumann-Morgenstern utility function.".
- Marginal_conditional_stochastic_dominance label "Marginal conditional stochastic dominance".
- Marginal_conditional_stochastic_dominance sameAs m.0gffb_9.
- Marginal_conditional_stochastic_dominance sameAs Q6760413.
- Marginal_conditional_stochastic_dominance sameAs Q6760413.
- Marginal_conditional_stochastic_dominance wasDerivedFrom Marginal_conditional_stochastic_dominance?oldid=537013131.
- Marginal_conditional_stochastic_dominance isPrimaryTopicOf Marginal_conditional_stochastic_dominance.