TY - JOUR
T1 - The maximum geometric mean criterion
T2 - revisiting the Markowitz–Samuelson debate: survey and analysis
AU - Levy, Haim
N1 - Publisher Copyright:
© The Author(s) 2024.
PY - 2024
Y1 - 2024
N2 - By the Almost First-degree Stochastic Dominance (AFSD) rule, corresponding only to economically relevant preferences, for an infinite horizon the theoretical claim of both Markowitz and Samuelson is not intact. However, for the practically more relevant case of the long but finite horizon, with stocks-bonds portfolios, Markowitz empirically is right as we find that the MGM portfolio coincides with the optimal myopic portfolio for all risk aversion parameters α<1.7. For α≥1.7 the MGM portfolio dominates by AFSD rule all optimal myopic portfolios, as long as the investment horizon is 12–15 years or longer.
AB - By the Almost First-degree Stochastic Dominance (AFSD) rule, corresponding only to economically relevant preferences, for an infinite horizon the theoretical claim of both Markowitz and Samuelson is not intact. However, for the practically more relevant case of the long but finite horizon, with stocks-bonds portfolios, Markowitz empirically is right as we find that the MGM portfolio coincides with the optimal myopic portfolio for all risk aversion parameters α<1.7. For α≥1.7 the MGM portfolio dominates by AFSD rule all optimal myopic portfolios, as long as the investment horizon is 12–15 years or longer.
KW - Almost first-degree stochastic dominance (AFSD)
KW - FSD-violation area
KW - G11
KW - Geometric mean
KW - Myopic preference
UR - http://www.scopus.com/inward/record.url?scp=85203672914&partnerID=8YFLogxK
U2 - 10.1007/s10479-024-06250-8
DO - 10.1007/s10479-024-06250-8
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AN - SCOPUS:85203672914
SN - 0254-5330
JO - Annals of Operations Research
JF - Annals of Operations Research
ER -