Stochastic Dominance vs. Mean-Variance Portfolio Analysis: An Empirical Evaluation

This paper presents the results of several empirical studies of the similarities and differences between mean-variance and stochastic dominance efficiency.

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Bibliographische Detailangaben
Veröffentlicht in:	The American economic review 1972-06, Vol.62 (3), p.438-446
Hauptverfasser:	Porter, R. Burr, Gaumnitz, Jack E.
Format:	Artikel
Sprache:	eng
Schlagworte:	Common stock Communications Economic efficiency Economic theory Efficiency metrics Financial portfolios Investors Portfolio diversification Probability distributions Risk aversion Security portfolios Statistical variance Stochastic models Studies
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Beschreibung
Zusammenfassung:	This paper presents the results of several empirical studies of the similarities and differences between mean-variance and stochastic dominance efficiency.
ISSN:	0002-8282 1944-7981