No CrossRef data available.
Article contents
A Note on the Uniqueness of Portfolio Choice
Published online by Cambridge University Press: 19 October 2009
Extract
In [1] the authors proved the following proposition.
Proposition 1: If the positive random variables are exchangeable and linearly independent and if u(x) is strictly concave and satisfies
then the unique optimal choice is given by .
- Type
- Communications
- Information
- Journal of Financial and Quantitative Analysis , Volume 11 , Issue 3 , September 1976 , pp. 481 - 484
- Copyright
- Copyright © School of Business Administration, University of Washington 1976