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

Erwin Saniga, Nicolas Gressis and Jack Hayya

Journal of Financial and Quantitative Analysis, 1979, vol. 14, issue 3, 615-628

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.

Date: 1979
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