Journal of Financial and Quantitative Analysis Vol. 8 No. 1 1973
Efficient Algorithms for Conducting Stochastic Dominance Tests on Large Numbers of Portfolios
Abstract
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.
- DOI
- 10.2307/2329749
- Volume
- 8
- Issue
- 1
- Pages
- 71
- Sources
- openalex crossref