Abstract:Comparisons of the results of using alternative efficiency criteria for portfolio selection, while plentiful overseas, are seemingly scarce in Australia. Here, mean‐variance efficient sets are compared with and found to be not too different from sets efficient according to second and third degree stochastic dominance. In examining the effect of increasing the number of securities allowed in each portfolio, it is found that the size of efficient sets of portfolios diminishes, as does the mean return and, most significantly, the variance of return for efficient portfolio