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

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  • Johnson, Keith H.
  • Burgess, Richard C.

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].

Suggested Citation

  • Johnson, Keith H. & Burgess, Richard C., 1975. "The Effects of Sample Sizes on the Accuracy of EV and SSD Efficiency Criteria," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 10(5), pages 813-820, December.
    • Handle: RePEc:cup:jfinqa:v:10:y:1975:i:05:p:813-820_01
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    Cited by:

    1. William E. Stein & Roger C. Pfaffenberger & Dan W. French, 1987. "Sampling Error In First Order Stochastic Dominance," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 10(3), pages 259-268, September.
    2. Richard C. Burgess & Maurry J. Tamarkin, 1982. "Regulatory Influences On Portfolio Performance: Short Selling And Regulation T," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 5(1), pages 39-54, March.
    3. Roger P. Bey & Richard C. Burgess & Richard B. Kearns, 1984. "Moving Stochastic Dominance: An Alternative Method For Testing Market Efficiency," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 7(3), pages 185-196, September.
    4. Cochran, Mark J., 1986. "Stochastic Dominance: The State Of The Art In Agricultural Economics," Regional Research Projects > 1986: S-180 Annual Meeting, March 23-26, 1986, Tampa, Florida 271995, Regional Research Projects > S-180: An Economic Analysis of Risk Management Strategies for Agricultural Production Firms.

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