The Derivation of Efficient Sets

Gordon Alexander

Journal of Financial and Quantitative Analysis, 1976, vol. 11, issue 5, 817-830

Abstract: In 1952, Harry M. Markowitz [6] described a theory on the selection of assets in forming a portfolio. Assuming asset returns are stochastic, his theory postulated that rational investors should select a portfolio from the set of all portfolios which offered minimum risk (measured by variance) for varying levels of expected return. This set was named the efficient set by Markowitz.

Date: 1976
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