A Note on Portfolio Selection and Investors' Wealth

Haim Levy and Marshall Sarnat

Journal of Financial and Quantitative Analysis, 1971, vol. 6, issue 1, 639-642

Abstract: Efficiency analysis is concerned with isolating the efficient subset of investments (portfolios) for all investors belonging to a specified group. In order to construct a meaningful efficiency criterion, i.e., one which holds for more than one investor, care must be exercised to ensure that the investors' efficient set is independent of their wealth.

Date: 1971
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