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 \(theoretical\) 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 \(\alpha < 1.7\). For \(\alpha \ge 1.7\) the MGM portfolio dominates by AFSD rule all optimal myopic portfolios, as long as the investment horizon is 12–15 years or longer.