IDEAS home Printed from https://ideas.repec.org/a/cup/jfinqa/v10y1975i01p181-185_01.html
   My bibliography  Save this article

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

Author

Listed:
  • Porter, R. Burr
  • Pfaffenberger, Roger C.

Abstract

In their comment on a paper by Porter, Wart, and Ferguson [7], Professors Frankfurter and Phillips [2] have raised two serious objections to “any attempt to compare and contrast SD and EV efficiency criteria on empirical grounds.†Essentially, they have argued that empirical comparisons of SD and EV selection rules are invalid because:a. The EV portfolio building algorithms are not allowed to operate in such tests, andb. While the estimators of true E and V are derived from and supported by elementary sampling theory, there exists no comparable sampling theory for the estimation of total probability functions.

Suggested Citation

  • Porter, R. Burr & Pfaffenberger, Roger C., 1975. "Efficient Algorithms for Conducting Stochastic Dominance Tests on Large Numbers of Portfolios: Reply," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 10(1), pages 181-185, March.
    • Handle: RePEc:cup:jfinqa:v:10:y:1975:i:01:p:181-185_01
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S0022109000018184/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    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. V.-P. Heikkinen & & Timo Kuosmanen, 2002. "Stochastic Dominance Portfolio Analysis of Forestry Assets," Finance 0210002, University Library of Munich, Germany.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:jfinqa:v:10:y:1975:i:01:p:181-185_01. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/jfq .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.