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The Effects Of Sample Size And Correlation On The Accuracy Of The Ev Efficiency Criterion

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  • Saniga, Erwin
  • Gressis, Nicolas
  • Hayya, Jack

Abstract

Traditionally, the problem of portfolio choice from risky assets has been solved by considering each asset as a probability distribution of future returns. Depending on the approach used to perform efficiency analysis, knowledge about the asset's probability distribution can be from summary to complete. Thus the mean-variance (EV) model of Markowitz [9] utilizes the first two moments of the distribution, whereas the stochastic dominance (SD) approach [3] employs the entire probability function.

Suggested Citation

  • Saniga, Erwin & Gressis, Nicolas & Hayya, Jack, 1979. "The Effects Of Sample Size And Correlation On The Accuracy Of The Ev Efficiency Criterion," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 14(3), pages 615-628, September.
    • Handle: RePEc:cup:jfinqa:v:14:y:1979:i:03:p:615-628_00
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