The Effects of Sample Sizes on the Accuracy of EV and SSD Efficiency Criteria

Keith H. Johnson and Richard C. Burgess

Journal of Financial and Quantitative Analysis, 1975, vol. 10, issue 5, 813-820

Abstract: Preference orderings of uncertain prospects have progressed from the two-moment EV model first developed by Markowitz [1952] to the more general efficiency analysis that is based on the entire probability function. This general efficiency approach, referred to as the Stochastic Dominance (SD) approach, does not depend on specific assumptions about the investor's utility function and has been shown to be theoretically superior to the “moment methods” [1].

Date: 1975
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