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

R. Burr Porter, James R. Wart and Donald L. Ferguson

Journal of Financial and Quantitative Analysis, 1973, vol. 8, issue 1, 71-81

Abstract: Recent theoretical and empirical work in portfolio theory has exhibited a natural evolution from the two-moment EV model popularized by Markowitz through the higher moment models to selection on the basis of the entire probability function. This latter approach, referred to as the Stochastic Dominance (SD) approach to portfolio selection, has been shown to be theoretically superior to all of the “moment methods” and has been the focus of an increasing volume of empirical work.

Date: 1973
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