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

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  • Frankfurter, George M.
  • Phillips, Herbert E.

Abstract

In their recent paper Porter, Wart, and Ferguson (PWF) [6] discuss the factors which they allege to be responsible for “the time-consuming nature of empirical tests of†stochastic dominance (SD) efficiency relative to Markowitz (EV) efficiency. Based upon their analysis, a number of algorithms for improving computational efficiency are offered. The “tricks†upon which applications would be based are of no concern here. Our concern is with the logical inconsistency of any attempt to compare and contrast SD and EV efficiency criteria on empirical grounds.

Suggested Citation

  • Frankfurter, George M. & Phillips, Herbert E., 1975. "Efficient Algorithms for Conducting Stochastic Dominance Tests on Large Numbers of Portfolios: A Comment," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 10(1), pages 177-179, March.
    • Handle: RePEc:cup:jfinqa:v:10:y:1975:i:01:p:177-179_01
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    Cited by:

    1. Shalit, Haim & Yitzhaki, Shlomo, 1985. "Evaluating the Mean-Gini Approach to Portfolio Selection," Working Papers 232632, Hebrew University of Jerusalem, Center for Agricultural Economic Research.
    2. Timo Kuosmanen, 2004. "Efficient Diversification According to Stochastic Dominance Criteria," Management Science, INFORMS, vol. 50(10), pages 1390-1406, October.
    3. McGoun, Elton G., 1997. "Ex ungue leonem," International Review of Financial Analysis, Elsevier, vol. 6(1), pages 1-12.

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