Almost Stochastic Dominance and stocks for the long run

Moshe Levy*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

32 Scopus citations

Abstract

The geometric-mean argument and the recently developed Almost Stochastic Dominance criterion have been employed to make the case for "stocks for the long run". We show that Almost Stochastic Dominance and the geometric-mean argument do not necessarily support long-run investment in equities. In fact, for standard preferences bonds may be preferred to stocks for the long run while stocks are preferred for shorter horizons.

Original languageAmerican English
Pages (from-to)250-257
Number of pages8
JournalEuropean Journal of Operational Research
Volume194
Issue number1
DOIs
StatePublished - 1 Apr 2009

Bibliographical note

Funding Information:
The helpful comments and suggestions of three anonymous referees of this journal is gratefully acknowledged. The author thanks the Zagagi Fund for financial support of this research.

Keywords

  • Asset allocation
  • Investment horizon
  • Stochastic Dominance

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