It is common to use historical data in calculating the rates of return of risky options, and these data are used to calculate the mean and the variance, which are employed in the (MV) preference ranking. In this paper we study the effect of possible sampling error on the portfolio ranking. It is...

Mixing the risky asset with the riskless asset. Levy and Kroll have developed stochastic dominance rules with borrowing and lending (SDR). These rules can be easily applied to discrete distributions (e.g., ex-post data). However, an infinite number of comparisons is involved when the...

A computer-controlled portfolio selection task with three risky assets and either with or without a riskless asset was devised to test experimentally assumptions underlying the separation theorem and the capital asset pricing model. Two differently paid groups of subjects completed individually...