A note on the portfolio selection problem

A note on the portfolio selection problem

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Article ID: iaor20061126
Country: Germany
Volume: 59
Issue: 4
Start Page Number: 295
End Page Number: 306
Publication Date: Dec 2005
Journal: Theory and Decision
Authors: ,
Keywords: portfolio management
Abstract:

In this note we provide new results of interest in the portfolio choice problem when the risky opportunities are correlated: for a general vector (X1,X2,…,Xn) of risky opportunities we give new conditions for stochastic comparison among different portfolios choices and new necessary and sufficient conditions to characterize the portfolio which gives the maximal expected utility.

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