Value versus growth: stochastic dominance criteria

DOI10.1080/14697680701668426MaRDI QIDQ3605231zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

stochastic dominancevalue premiumgrowth stocksvalue stocks

Mathematics Subject Classification ID

Economic growth models (91B62)

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

Cites work

• scientific article; zbMATH DE number 41105 (Why is no real title available?)
• Common risk factors in the returns on stocks and bonds
• Consistent Tests for Stochastic Dominance
• Nonparametric Tests of Stochastic Dominance in Income Distributions
• Statistical Inference for Stochastic Dominance and for the Measurement of Poverty and Inequality

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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