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

Haim Levy ()
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Haim Levy: Hebrew University

Annals of Operations Research, 2025, vol. 346, issue 1, No 17, 263-284

Abstract: 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

Keywords: Geometric mean; Myopic preference; Almost first-degree stochastic dominance (AFSD); FSD-violation area (search for similar items in EconPapers)
JEL-codes: G11 (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1007/s10479-024-06250-8

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