A Note on Asset Proportions, Stochastic Dominance, and the 50% Rule

In this note we analyze the composition of an optimal portfolio by considering the cumulative conditional expected outcome of two dependent assets. We develop a conditional stochastic dominance relation and show that for any concave von Neumann-Morgenstern utility function, the proportion of wealth invested in the dominant asset will be greater than 50%.

• 저널Management Science · 45(12) · 1724–1727
• 토픽Economic theories and models · Economics and Econometrics
• DOI10.1287/mnsc.45.12.1724
• 저자Ephraïm Clark, Octave Jokung