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Efficient Algorithms for Conducting Stochastic Dominance Tests on Large Numbers of Portfolios

Published online by Cambridge University Press:  19 October 2009

R. Burr Porter ,
James R. Wart  and
Donald L. Ferguson
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Extract

Recent theoretical and empirical work in portfolio theory has exhibited a natural evolution from the two-moment EV model popularized by Markowitz through the higher moment models to selection on the basis of the entire probability function. This latter approach, referred to as the Stochastic Dominance (SD) approach to portfolio selection, has been shown to be theoretically superior to all of the “moment methods” and has been the focus of an increasing volume of empirical work.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 8 , Issue 1 , January 1973 , pp. 71 - 81
Copyright
Copyright © School of Business Administration, University of Washington 1973

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