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A Note on the Portfolio Selection Problem

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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,..., X n ) 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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Authors and Affiliations

  1. Dipartimento di Matematica, Politecnico di Torino, Corso Duca degli Abruzzi, 24, 10129, Turin, Italy

    Franco Pellerey & Patrizia Semeraro

Authors
  1. Franco Pellerey
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  2. Patrizia Semeraro
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Correspondence to Franco Pellerey.

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Pellerey, F., Semeraro, P. A Note on the Portfolio Selection Problem. Theor Decis 59, 295–306 (2005). https://doi.org/10.1007/s11238-005-8634-2

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  • DOI: https://doi.org/10.1007/s11238-005-8634-2

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