Efficient-Portfolios Risk-Free Asset

Bruce C. Dieffenbach ()
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Bruce C. Dieffenbach: Independent author

Chapter 63 in Conjugate Duality in Economic Analysis, 2026, pp 487-491 from Springer

Abstract: Abstract We solve an efficiency problem to determine the cost/mean/variance efficient portfolios for asset markets having a risk-free asset. The portfolio-choice separation theorem describes the efficient portfolios: invest a nonnegative amount in a particular risky portfolio and an arbitrary positive or negative amount in the risk-free asset. The calculations for the Sharpe ratio—the maximum ratio of mean to standard deviation—confirm Hansen–Jagannathan duality (Tobin J (1958 Feb) Liquidity preference as behavior towards risk. Rev Econ Stud XXV(2):65–86).

Date: 2026
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DOI: 10.1007/978-3-032-21396-9_63

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