A Note on the Portfolio Selection Problem

Franco Pellerey () and Patrizia Semeraro

Theory and Decision, 2005, vol. 59, issue 4, 295-306

Abstract: In this note we provide new results of interest in the portfolio choice problem when the risky opportunities are correlated: for a general vector (X 1 , X 2 ,..., X n ) of risky opportunities we give new conditions for stochastic comparison among different portfolios choices and new necessary and sufficient conditions to characterize the portfolio which gives the maximal expected utility. Copyright Springer 2005

Keywords: portfolio selection; expected utility diversification; increasing concave order; positive dependence; Primary 60E15; Secondary 60K10 (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (15)

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DOI: 10.1007/s11238-005-8634-2

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