An Empirical Comparison of Stochastic Dominance among Lognormal Prospects

Hassan Tehranian and Billy P. Helms

Journal of Financial and Quantitative Analysis, 1982, vol. 17, issue 2, 217-226

Abstract: The theory of portfolio selection and diversification developed by Markowitz [22] and Tobin [33] was based primarily on the criterion of meanvariance (MV) efficiency. The objective was to select an efficient set of portfolios from which every risk averter will choose the optimal portfolio which maximizes his expected utility. The MV criterion is the appropriate rule either for the case in which the utility function is quadratic or if the returns are normally distributed and risk aversion is assumed.

Date: 1982
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