Comparing mean variance tests with stochastic dominance tests when assessing international portfolio diversification benefits

@inproceedings{Meyera2004ComparingMV,
  title={Comparing mean variance tests with stochastic dominance tests when assessing international portfolio diversification benefits},
  author={Thomas O. Meyera and Xiao-Ming Lib and Lawrence C. Roseb},
  year={2004}
}
  • Thomas O. Meyera, Xiao-Ming Lib, Lawrence C. Roseb
  • Published 2004
Stochastic dominance is theoretically superior to mean-variance (MV) analysis because it considers the entire return distribution and is based on minimally restrictive assumptions regarding investor motives. This study uses stochastic dominance to examine whether adding internationally based assets to a wholly domestic portfolio generates diversification benefits for an investor. In contrast to previous MV findings, a New Zealand-only portfolio stochastically dominates four internationally… CONTINUE READING

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