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 …

/variance optimization is static and concerned with finding the optimal asset allocation, evolutionary portfolio theory is dynamic and its …

We show that the optimal asset allocation for an investor depends crucially on the theory with which the investor is … consider is standard asset allocation data. The client data is determined by a standard risk profiling question and the … theories we apply are mean-variance analysis, expected utility analysis and cumulative prospect theory …