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The Effects Of Sample Size And Correlation On The Accuracy Of The Ev Efficiency Criterion

Published online by Cambridge University Press:  06 April 2009

Erwin Saniga ,
Nicolas Gressis  and
Jack Hayya
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Extract

Traditionally, the problem of portfolio choice from risky assets has been solved by considering each asset as a probability distribution of future returns. Depending on the approach used to perform efficiency analysis, knowledge about the asset's probability distribution can be from summary to complete. Thus the mean-variance (EV) model of Markowitz [9] utilizes the first two moments of the distribution, whereas the stochastic dominance (SD) approach [3] employs the entire probability function.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 14 , Issue 3 , September 1979 , pp. 615 - 628
Copyright
Copyright © School of Business Administration, University of Washington 1979

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References

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