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M. Leshno and H. Levy, “Preferred by ‘All’ and Preferred by ‘Most’ Decision Makers: Almost Stochastic Dominance,” Management Science, Vol. 48, No. 8, 2002, pp. 1074-1085. doi:10.1287/mnsc.48.8.1074.169

has been cited by the following article:

• TITLE: Almost Stochastic Dominance and Efficient Investment Sets

  AUTHORS: Moshe Levy

  KEYWORDS: Stochastic Dominance; Efficient Investment Set; Investment Choice

  JOURNAL NAME: American Journal of Operations Research, Vol.2 No.3, September 19, 2012

  ABSTRACT: 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.