Almost Stochastic Dominance and stocks for the long run

Moshe Levy

doi:10.1016/j.ejor.2007.12.017

Almost Stochastic Dominance and stocks for the long run

Moshe Levy^*

^*Corresponding author for this work

Business Administration

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33 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 language	English
Pages (from-to)	250-257
Number of pages	8
Journal	European Journal of Operational Research
Volume	194
Issue number	1
DOIs	https://doi.org/10.1016/j.ejor.2007.12.017
State	Published - 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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10.1016/j.ejor.2007.12.017

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Almost Stochastic Dominance and stocks for the long run

Abstract

Bibliographical note

Keywords

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