Portfolio Theory for Independent Assets

DOI10.1287/MNSC.30.8.952MaRDI QIDQ3343713zbMATH OpenOpenAlexFDO

Authors Paul L. McEntire

Publication date 1984

Published in Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/mnsc.30.8.952

zbMATH Keywords

generalized harmonic meanindependence from irrelevant alternativesindependent assetsindependently distributed asset pricesoptimal portfoliovon Neumann- Morgenstern utility function

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cited in

(22)

• Expectation dependence of random variables, with an application in portfolio theory
• Portfolio theory for the recourse certainty equivalent maximizing investor
• Mean-risk analysis of risk aversion and wealth effects on optimal portfolios with multiple investment opportunities
• A reaxiomatization of portfolio theory
• The generalized harmonic mean and a portfolio problem with dependent assets
• An algebraic theory of portfolio allocation
• Symmetry and order in the portfolio allocation problem
• New light on the portfolio allocation problem
• On the use of optimization models for portfolio selection: A review and some computational results
• Ordering optimal proportions in the asset allocation problem with dependent default risks
• A note on the portfolio selection problem
• Some covariance inequalities for non-monotonic functions with applications to mean-variance indifference curves and bank hedging
• Portfolio selection problems consistent with given preference orderings
• On the Independence of Irrelevant Assets: McEntire's Conjecture
• Portfolio Efficient Sets
• Portfolio Response to a Shift in a Return Distribution: The Case of n- Dependent Assets
• A condition for asset redundancy in the mean-variance model of portfolio investment
• Ordering of Optimal Portfolio Allocations in a Model with a Mixture of Fundamental Risks
• A preference foundation for log mean-variance criteria in portfolio choice problems
• The expected utility of portfolios of assets
• Theory of portfolios: New considerations on classic models and the Capital Market Line
• On the nature of certainty equivalent functionals

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