Efficient Portfolios No Risk-Free Asset

Bruce C. Dieffenbach ()
Additional contact information
Bruce C. Dieffenbach: Independent author

Chapter 64 in Conjugate Duality in Economic Analysis, 2026, pp 493-500 from Springer

Abstract: Abstract Working with an asset space in which there is no risk-free asset, we solve for the portfolios that are cost/mean/variance efficient. Efficiency looks for a lower cost, a higher mean, and lower variance. Analyzing primal and dual efficiency problems obtains the separation Theorem 1. Setting the problem in Lorentz space obtains a (nonpolyhedral) linear program. Cost and mean positivity is necessary and sufficient for the existence of efficient portfolios having a positive cost. The efficient portfolios consist of the cone generated by the mean portfolio and the negative of the cost portfolio. This theorem corrects traditional thinking.

Date: 2026
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:conchp:978-3-032-21396-9_64

Ordering information: This item can be ordered from
http://www.springer.com/9783032213969

DOI: 10.1007/978-3-032-21396-9_64

Access Statistics for this chapter

More chapters in Contributions to Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().