The maximum geometric mean criterion: revisiting the Markowitz–Samuelson debate: survey and analysis

By the Almost First-degree Stochastic Dominance (AFSD) rule, corresponding only to economically relevant preferences, for an infinite horizon the \(theoretical\) $\mathit{theoretical}$ 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 \(empirically\) $\mathit{empirically}$ is right as we find that the MGM portfolio coincides with the optimal myopic portfolio for all risk aversion parameters \(\alpha < 1.7\) $\alpha <1.7$ . For \(\alpha \ge 1.7\) $\alpha \ge 1.7$ the MGM portfolio dominates by AFSD rule all optimal myopic portfolios, as long as the investment horizon is 12–15 years or longer.