Abstract
Portfolio selection problem and its efficiency evaluation is one of the most important issues within financial risk management and decision making. Therefore, the alternative ways of portfolio comparisons were developed, among them the second order stochastic dominance (SSD) approach is one of the most popular one.
The task of this paper is to examine and analyze the SSD efficiency of min-var portfolios that are selected on the basis of alternative concordance matrices set up on the basis of either Spearman rho or Kendall tau. It is empirically documented that only Pearson measure in Markowitz model identified a portfolio that can be of interest for at least one risk averse investor.
Moreover, a portfolio based on Kendall measure is very poor (at least in terms of SSD efficiency).