A Note on the Portfolio Selection Problem

Theory and Decision 59 (4):295-306 (2005)
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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 (X 1, X 2,..., 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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