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An Empirical Comparison of Stochastic Dominance and Mean-Variance Portfolio Choice Criteria

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  • Porter, R. Burr
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    Bibliographic Info

    Article provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.

    Volume (Year): 8 (1973)
    Issue (Month): 04 (September)
    Pages: 587-608

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    Handle: RePEc:cup:jfinqa:v:8:y:1973:i:04:p:587-608_01

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    Cited by:
    1. Dominic Gasbarro & Wing-Keung Wong & J. Kenton Zumwalt, 2007. "Stochastic Dominance Analysis of iShares," Finance Working Papers 21919, East Asian Bureau of Economic Research.
    2. Walton Taylor & James Yoder, 1999. "Load and no-load mutual fund dynamics during the 1987 market crash: A stochastic dominance analysis," Journal of Economics and Finance, Springer, vol. 23(3), pages 255-265, September.
    3. Hooi Lean & Kok Phoon & Wing-Keung Wong, 2013. "Stochastic dominance analysis of CTA funds," Review of Quantitative Finance and Accounting, Springer, vol. 40(1), pages 155-170, January.
    4. Abhyankar, Abhay & Chen, Hsuan-Chi & Ho, Keng-Yu, 2006. "The long-run performance of initial public offerings: Stochastic dominance criteria," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(4), pages 620-637, September.
    5. Li, Xiaoming, 2008. "Demand evolution in stochastic inventory systems: Riskiness increase," International Journal of Production Economics, Elsevier, vol. 116(2), pages 182-189, December.
    6. Wong, Wing-Keung & Phoon, Kok Fai & Lean, Hooi Hooi, 2008. "Stochastic dominance analysis of Asian hedge funds," Pacific-Basin Finance Journal, Elsevier, vol. 16(3), pages 204-223, June.
    7. Drynan, Ross G., 1986. "A Note On Optimal Rules For Stochastic Efficiency Analysis," Australian Journal of Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 30(01), April.
    8. Abhay Abhyankar & Keng-Yu Ho & Huainan Zhao, 2009. "International value versus growth: evidence from stochastic dominance analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(3), pages 222-232.
    9. Peter Calkins, 2009. "Sufficiency Economy Matrices: Multi-Period Optimization for Local Development Planners," Journal of Economics and Management, College of Business, Feng Chia University, Taiwan, vol. 5(2), pages 305-332, July.
    10. Abhay Abhyankar & Keng-Yu Ho & Huainan Zhao, 2005. "Long-run post-merger stock performance of UK acquiring firms: a stochastic dominance perspective," Applied Financial Economics, Taylor & Francis Journals, vol. 15(10), pages 679-690.

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