Efficient Portfolio Selection for Pareto-Lévy Investments**

Paul Samuelson

Journal of Financial and Quantitative Analysis, 1967, vol. 2, issue 2, 107-122

Abstract: The Markowitz analysis of efficient portfolio selection, which can be interpreted as solving the quadratic-programming problem of minimizing the variance of a normal variate subject to each prescribed mean value, easily can be generalized (in the special case of independently distributed investments) to the concave-programming problem of minimizing the “dispersion” of a stable Pareto-Lévy variate subject to each prescribed mean value. Some further generalizations involving interdependent distributions will also be presented here.

Date: 1967
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