%0 Journal Article
%T Almost Stochastic Dominance and Efficient Investment Sets
%A Moshe Levy
%J American Journal of Operations Research
%P 313-321
%@ 2160-8849
%D 2012
%I Scientific Research Publishing
%R 10.4236/ajor.2012.23038
%X A major drawback of Mean-Variance and Stochastic Dominance investment criteria is that they may fail to determine dominance even in situations when all ¡°reasonable¡± decision-makers would clearly prefer one alternative over another. Leshno and Levy [1] suggest Almost Stochastic Dominance (ASD) as a remedy. This paper develops algorithms for deriving the ASD efficient sets. Empirical application reveals that the improvement to the efficient sets implied by ASD is substantial (64% reduction for FSD). Direct expected utility maximization shows that investment portfolios excluded from the ASD efficient set would not have been chosen by any investors with reasonable preferences.
%K Stochastic Dominance
%K Efficient Investment Set
%K Investment Choice
%U http://www.scirp.org/journal/PaperInformation.aspx?PaperID=22415