Asset Proportions in Optimal Portfolios
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Publication:3801285
DOI10.2307/2297395zbMath0654.90004OpenAlexW2078584482MaRDI QIDQ3801285
Publication date: 1988
Published in: The Review of Economic Studies (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/2297395
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Related Items (16)
On allocations to portfolios of assets with statistically dependent potential risk returns ⋮ Increasing risk, decreasing absolute risk aversion and diversification ⋮ Joint stochastic orders of high degrees and their applications in portfolio selections ⋮ Preservation of WSAI under default transforms and its application in allocating assets with dependent realizable returns ⋮ Making inefficient market indices efficient ⋮ Almost expectation and excess dependence notions ⋮ Fractional-degree expectation dependence ⋮ Higher-degree stochastic dominance optimality and efficiency ⋮ Asset proportions in optimal portfolios with dependent default risks ⋮ Demand for risky financial assets: A portfolio analysis ⋮ Testing for positive expectation dependence ⋮ Risk aversion, prudence, and asset allocation: a review and some new developments ⋮ Portfolio allocation problems between risky and ambiguous assets ⋮ PORTFOLIO SELECTION PROBLEMS VIA THE BIVARIATE CHARACTERIZATION OF STOCHASTIC DOMINANCE RELATIONS ⋮ Notions of multivariate dependence and their applications in optimal portfolio selections with dependent risks ⋮ General linear formulations of stochastic dominance criteria
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