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Portfolio selection in a lognormal securities market

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Conclusion

This paper, therefore, once again establishes the usefulness of the two parameter distributions in the analysis of portfolio selection and taxation. Assuming a lognormal securities market and a chance-constrained portfolio choice model, we derive the well known results of portfolio separation and the effects of taxation which were earlier obtained under more restrictive mean-variance assumptions.

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Author notes

  1. Syed M. Ahsan

    Present address: Department of Economics, Concordia University, Sir George Williams Campus, 1455 de Maisonneuve Blvd. West, H3G 1M8, Montreal, Quebec, Canada

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    Ahsan, S.M. Portfolio selection in a lognormal securities market. Zeitschr. f. Nationalökonomie 38, 105–118 (1978). https://doi.org/10.1007/BF01290062

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    • DOI: https://doi.org/10.1007/BF01290062

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