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...

The use of the CAPM in empirical research is subject to some criticism. In light of this criticism the Stochastic Dominance criteria are offered as an alternative research method for the examination of market efficiency. The underlying assumptions of the two frameworks are discussed and the...

While Stochastic Dominance has been employed in various forms as early as 1932, it has only been since 1969--1970 that the notion has been developed and extensively employed in the area of economics, finance, agriculture, statistics, marketing and operations research. In this survey, the first-,...

Assuming that assets are traded in discrete time and that risk averse investors differ in their holding periods, we investigate the conditions under which the CAPM holds. It is shown that when portfolio rebalancing is allowed the CAPM holds in four cases not rigorously analyzed previously. These...

Management of accounts receivable and trade credit policy should often be adjusted to reflect changing interest rates due to changing inflation. Firms can respond to inflation by either increasing the discount for cash payments or by shortening the credit period. This paper investigates the...

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...

An investor is faced with several investment alternatives. Any investment plan induces a vector of consumption where the consumption in each period is a random variable. Obviously, the optimal vector of consumption is determined by the multi-period utility function. However, in most cases we...

First degree stochastic dominance rules for uncertain options (distributions of returns) have been developed for the following two cases: (a) multi-period additive utility functions, (b) univariate utility functions and compound distributions of returns. In the first case, the suggested rule is...

The mean-variance (M-V) rule may lead to paradoxical results which may be resolved by employing the mean coefficient of variation (M-C) rule. It is shown that the M-C rule constitutes an optimal decision rule for lognormal distributions.

Following the equilibrium model which has been developed by Sharpe, Lintner and Treynor, several authors have developed one-parameter indexes as measures of performance. In this paper, it is shown that as long as the "true" horizon does not coincide with the horizon assumed in the empirical...