Stochastic Dominance, Efficiency Criteria, and Efficient Portfolios: The Multi-Period Case

Abstract

The theoretical and the empirical work in the theory of investment decision making under conditions of uncertainty (particularly in portfolio-selection theory) has been done so far under the very restricting assumption that all investors have a single target date for wealth accumulation, or investment horizon. They buy their portfolios on the same date with the object of maximizing their expected utility from terminal wealth. The papers of James Tobin and Jan Mossin who deal with the multi-period mean-variance criterion are the exception…

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