A Note on the Uniqueness of Portfolio Choice

Laurie Davies and Gerd Ronning

Journal of Financial and Quantitative Analysis, 1976, vol. 11, issue 3, 481-484

Abstract: In [1] the authors proved the following proposition.Proposition 1: If the positive random variables are exchangeable and linearly independent and if u(x) is strictly concave and satisfiesthen the unique optimal choice is given by .

Date: 1976
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