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A Note on Portfolio Selection and Investors' Wealth

Published online by Cambridge University Press:  19 October 2009

Haim Levy  and
Marshall Sarnat
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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

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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
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[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