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The maximum geometric mean criterion: revisiting the Markowitz–Samuelson debate: survey and analysis

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  • Haim Levy

    (Hebrew University)

Abstract

By the Almost First-degree Stochastic Dominance (AFSD) rule, corresponding only to economically relevant preferences, for an infinite horizon the $$theoretical$$ theoretical claim of both Markowitz and Samuelson is not intact. However, for the practically more relevant case of the long but finite horizon, with stocks-bonds portfolios, Markowitz $$empirically$$ empirically is right as we find that the MGM portfolio coincides with the optimal myopic portfolio for all risk aversion parameters $$\alpha

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  • Haim Levy, 2025. "The maximum geometric mean criterion: revisiting the Markowitz–Samuelson debate: survey and analysis," Annals of Operations Research, Springer, vol. 346(1), pages 263-284, March.
    • Handle: RePEc:spr:annopr:v:346:y:2025:i:1:d:10.1007_s10479-024-06250-8
    DOI: 10.1007/s10479-024-06250-8
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    References listed on IDEAS

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    More about this item

    Keywords

    Geometric mean; Myopic preference; Almost first-degree stochastic dominance (AFSD); FSD-violation area;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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