A Note on Asset Proportions, Stochastic Dominance, and the 50% Rule
分析两个相关资产的最优组合构成，提出条件随机占优关系，证明对于任何凹的冯·诺依曼-摩根斯坦效用函数，投资于占优资产的比例将超过50%。
In this note we analyze the composition of an optimal portfolio by considering the cumulative conditional expected outcome of two dependent assets. We develop a conditional stochastic dominance relation and show that for any concave von Neumann-Morgenstern utility function, the proportion of wealth invested in the dominant asset will be greater than 50%.