A note on reward-risk portfolio selection and two-fund separation
This paper presents a general reward-risk portfolio selection model and derives sufficient conditions for two-fund separation. In particular we show that many reward-risk models presented in the literature satisfy these conditions.
Year of publication: |
2011
|
---|---|
Authors: | De Giorgi, Enrico ; Hens, Thorsten ; Mayer, Janos |
Published in: |
Finance Research Letters. - Elsevier, ISSN 1544-6123. - Vol. 8.2011, 2, p. 52-58
|
Publisher: |
Elsevier |
Subject: | Two-fund separation Reward-risk preferences |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
Hens, Thorsten,
-
Computational Aspects of Prospect Theory with Asset Pricing Applications
De Giorgi, Enrico G., (2006)
-
Hens, Thorsten, (2005)
- More ...