Value versus growth: stochastic dominance criteria

DOI10.1080/14697680701668426zbMATH Open1154.91553OpenAlexW2059779335MaRDI QIDQ3605231FDOQ3605231

Authors: Abhay Abhyankar, Keng-Yu Ho, Huainan Zhao 

Publication date: 23 February 2009

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://www.ssoar.info/ssoar/handle/document/22113

Recommendations

• Optimal value and growth tilts in long-horizon portfolios
• Stochastic models for capital growth
• Pricing assets with stochastic cash-flow growth
• Growth-oriented portfolio selection based on stochastic holding periods
• On value preserving and growth optimal portfolios
• Stochastic dominance and optimal portfolio
• Prospect and Markowitz stochastic dominance
• Stochastic value formation

zbMATH Keywords

stochastic dominancevalue premiumgrowth stocksvalue stocks

Mathematics Subject Classification ID

Economic growth models (91B62)

Cites Work

• Common risk factors in the returns on stocks and bonds
• Title not available (Why is that?)
• Consistent Tests for Stochastic Dominance
• Statistical Inference for Stochastic Dominance and for the Measurement of Poverty and Inequality
• Nonparametric Tests of Stochastic Dominance in Income Distributions

Cited In (3)

• Growth Versus Security in Dynamic Investment Analysis
• Growth factor and expected growth factor of some pivoting strategies
• Bubble detection and sector trading in real time

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