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The Effects of Sample Sizes on the Accuracy of EV and SSD Efficiency Criteria

Published online by Cambridge University Press:  19 October 2009

Keith H. Johnson  and
Richard C. Burgess
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Extract

Preference orderings of uncertain prospects have progressed from the two-moment EV model first developed by Markowitz [1952] to the more general efficiency analysis that is based on the entire probability function. This general efficiency approach, referred to as the Stochastic Dominance (SD) approach, does not depend on specific assumptions about the investor's utility function and has been shown to be theoretically superior to the “moment methods” [1].

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 10 , Issue 5 , December 1975 , pp. 813 - 820
Copyright
Copyright © School of Business Administration, University of Washington 1975

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References

REFERENCES

[1]Hadar, J., and Russell, W. R.. “Rules for Ordering Uncertain Prospects.” American Economic Review, vol. 49 (March 1969), pp. 25–34.Google Scholar
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[5]Porter, R. Burr, Wart, James R., and Ferguson, Donald L.. “Efficient Algorithms for Conducting Stochastic Dominance Tests on Large Numbers of Portfolios.” Journal of Financial and Quantitative Analysis, vol. 8 (January 1973), pp. 71–81.CrossRefGoogle Scholar
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