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A NOTE ON THE EFFECTS OF EFFICIENCY CRITERIA AND PORTFOLIO SIZE ON CHARACTERISTICS OF EFFICIENT PORTFOLIOS *
Author(s) -
Anderson Jock R.,
Leonardi Angelo C.
Publication year - 1982
Publication title -
accounting and finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.645
H-Index - 49
eISSN - 1467-629X
pISSN - 0810-5391
DOI - 10.1111/j.1467-629x.1982.tb00132.x
Subject(s) - portfolio , stochastic dominance , econometrics , variance (accounting) , modern portfolio theory , selection (genetic algorithm) , economics , rate of return on a portfolio , mathematics , statistics , actuarial science , computer science , financial economics , accounting , artificial intelligence
Comparisons of the results of using alternative efficiency criteria for portfolio selection, while plentiful overseas, are seemingly scarce in Australia. Here, mean‐variance efficient sets are compared with and found to be not too different from sets efficient according to second and third degree stochastic dominance. In examining the effect of increasing the number of securities allowed in each portfolio, it is found that the size of efficient sets of portfolios diminishes, as does the mean return and, most significantly, the variance of return for efficient portfolios.