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E. De Giorgi, “Reward-Risk Portfolio Selection and Stochastic Dominance,” Journal of Banking and Finance, Vol. 29, No. 4, 2005, pp. 895-926. doi:10.1016/j.jbankfin.2004.05.027

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.