A Comment on Baumol (E, L) Efficient Portfolios

Anonymous

Management Science, 1966, vol. 12, issue 7, 619-621

Abstract: Baumol [Baumol, W. J. 1963. An expected gain-confidence limit criterion for portfolio selection. Management Sci. (October) 174-182.] has provided a framework which may be useful in utilizing any additional information about the investor's preferences between the expected yield from a portfolio and its variability. However, this usefulness applies only in the case where the investor rejects portfolios containing riskless assets.

Date: 1966
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