Hostname: page-component-78c5997874-dh8gc Total loading time: 0 Render date: 2024-11-15T13:27:37.045Z Has data issue: false hasContentIssue false
  • English
  • Français

A Note on Portfolio Selection and Investors' Wealth

Published online by Cambridge University Press:  19 October 2009

Haim Levy  and
Marshall Sarnat
Get access Rights & Permissions [Opens in a new window]

Extract

Efficiency analysis is concerned with isolating the efficient subset of investments (portfolios) for all investors belonging to a specified group. In order to construct a meaningful efficiency criterion, i.e., one which holds for more than one investor, care must be exercised to ensure that the investors' efficient set is independent of their wealth.

Type
Communications
Information
Journal of Financial and Quantitative Analysis , Volume 6 , Issue 1 , January 1971 , pp. 639 - 642
Copyright
Copyright © School of Business Administration, University of Washington 1971

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

[1]Hadar, J., and Russell, W. R., “Rules of Ordering Uncertain Prospects,” American Economic Review, Vol. LIX, No. 7 (March 1969), pp. 25–34.Google Scholar
[2]Hanoch, G., and Levy, H., “The Efficiency Analysis of Choices Involving Risk,” Review of Economic Studies, Vol. XXXVI (3) (July 1969), pp. 335–345.CrossRefGoogle Scholar
[3]Markowitz, H. M., “Portfolio Selection,” Journal of Finance, Vol. VII, No. 1 (March 1952), pp. 77–91.Google Scholar
[4]Tobin, J., “Liquidity Preference as Behavior Towards Risk,” Review of Economic Studies, Vol. XXVI (February 1958), pp. 65–86.CrossRefGoogle Scholar