AN EVALUATION OF THE EMPIRICAL SIGNIFICANCE OF OPTIMAL SEEKING ALGORITHMS IN PORTFOLIO SELECTION.

The mean-variance (EV) portfolio selection rule has recently been challenged by a new procedure referred to as the Stochastic Dominance Rule (SD), which is touted as being theoretically and empirically superior. However, the SD procedure suffers from at least one technical deficiency not associated with the EV model--the lack of a search algorithm that builds efficient combinations of assets. The purpose of this paper is to evaluate the significance of this problem and to consider procedures for its alleviation. [ABSTRACT FROM AUTHOR]