Portfolio Theory for Independent Assets
This paper presents several new concepts for portfolio problems with independently distributed asset prices. A criterion is developed for including or excluding assets in an optimal portfolio for an investor maximizing the expected value of a von Neumann-Morgenstern utility function. The central con...
| Veröffentlicht in: | Management Science. - Institute for Operations Research and the Management Sciences, 1954. - 30(1984), 8, Seite 952-963 |
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| Format: | Online-Aufsatz |
| Sprache: | English |
| Veröffentlicht: |
1984
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| Zugriff auf das übergeordnete Werk: | Management Science |
| Schlagworte: | Portfolio Theory Independently Distributed Assets Optimal Portfolio Portfolio Selection Expected Utility Maximization Economics Mathematics |
| Online verfügbar |
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