Hostname: page-component-78c5997874-s2hrs Total loading time: 0 Render date: 2024-11-15T08:38:49.178Z Has data issue: false hasContentIssue false
  • English
  • Français

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
Get access Rights & Permissions [Opens in a new window]

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

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

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
[2]Levy, Haim, and Hanoch, Giora. “Relative Effectiveness of Efficiency Criteria for Portfolio Selection.” Journal of Financial and Quantitative Analysis, vol. 5 (March 1970), pp. 63–76.CrossRefGoogle Scholar
[3]Levy, Haim, and Sarnat, Marshall. Investment and Portfolio Analysis New York: Wiley, 1972.Google Scholar
[4]Porter, R. Burr. “An Empirical Comparison of Stochastic Dominance and Mean-Variance Portfolio Selection Criteria.” Journal of Financial and Quantitative Analysis, vol. 8 (September 1973), pp. 587–608.CrossRefGoogle Scholar
[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
[6]Sarnat, Marshall. “A Note on the Prediction of Portfolio Performance from Ex Post Data.” The Journal of Finance, vol. 27 (September 1972), pp. 903–906.CrossRefGoogle Scholar