Hostname: page-component-78c5997874-94fs2 Total loading time: 0 Render date: 2024-11-05T02:32:35.928Z Has data issue: false hasContentIssue false
  • English
  • Français

Relative Effectiveness of Efficiency Criteria for Portfolio Selection

Published online by Cambridge University Press:  19 October 2009

Haim Levy  and
Giora Hanoch
Get access Rights & Permissions [Opens in a new window]

Extract

Individual decisions about investment may be regarded as choices among alternative probability distributions of net returns. It is assumed that these distributions are completely known and independent of initial wealth positions, and that individuals determine the preferred portfolio of investment in accordance with a given, consistent set of preferences.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 5 , Issue 1 , March 1970 , pp. 63 - 76
Copyright
Copyright © School of Business Administration, University of Washington 1970

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

[1]Arrow, K. J., Aspects of the Theory of Risk-Bearing, Helsinki: Yrjö Jahnssonin Säätiö, 1965.Google Scholar
[2]Ben—Shahar, H., and Sarnat, M., “New Issues and Profitability of Investment in Common Stock, 1959–64,” Bank of Israel Bulletin, No. 25, 1966.Google Scholar
[3]Bierwag, G. O., and Grove, M. A., “Portfolio Selection and Taxation,” Oxford Economic Papers, 19, July 1957, pp. 215–221.CrossRefGoogle Scholar
[4]Borch, Karl A., “A Note on Utility and Attitudes to Risk,” Management Science, 9, July 1963, pp. 697–700.CrossRefGoogle Scholar
[5]Feldstein, M., “Mean Variance Analysis in the Theory of Liquidity Preference and Portfolio Selection,” Review of Economic Studies, Vol. 36, January 1969.CrossRefGoogle Scholar
[6]Fellner, W., Probability and Profit, Homewood, Ill.: Irwin, 1965.Google Scholar
[7]Friedman, M., and Savage, L. J., “The Utility Analysis of Choices Involving Risk,” The Journal of Political Economy, August 1958, pp. 279–304.CrossRefGoogle Scholar
[8]Hadar, J., and Russel, W. R., “Rules for Ordering Uncertain Prospects,” American Economic Review, March 1969.Google Scholar
[9]Hammond, J., “Towards Simplifying the Analysis of Decisions Under Uncertainty Where Preference is Non-linear” (Ph.D. thesis, Harvard Business School, 1968).Google Scholar
[10]Hanoch, G., and Levy, H., “Efficient Portfolio Selection with Quadratic and Cubic Utility,” Journal of Business, April 1970.CrossRefGoogle Scholar
[11]Hanoch, G., and Levy, , “The Efficiency Analysis of Choices Involving Risk,” Review of Economic Studies, 36, July 1969.CrossRefGoogle Scholar
[12]Herstein, I. N., and Milnor, J., “An Axiomatic Approach to Measurable Utility,” Econometrica, Vol. XXI, No. 2, April 1953.Google Scholar
[13]Levy, H., “Portfolio Selection and Optimal Capital Structure (Ph.D. thesis, Hebrew University of Jerusalem, 1969).Google Scholar
[14]Markowitz, H. M., “Portfolio Selection,” The Journal of Finance, Vol. 6, No. 1, March 1952, pp. 77–91.Google Scholar
[15]Markowitz, H. M., Portfolio Selection, New York: Wiley, 1959.Google Scholar
[16]Pratt, J. W., “Risk Aversion in the Small and Large,” Econometrica, January–April 1964, pp. 122–136.CrossRefGoogle Scholar
[17]Quirk, J. P., and Saposnik, R., “Admissibility and Measurable Utility Functions,” Review of Economic Studies, Vol 29, 1962, p. 140.CrossRefGoogle Scholar
[18]Richter, M. K., “Cardinal Utility Portfolio Selection and Taxation,” The Review of Economic Studies, Vol 27, June 1960, p. 152.CrossRefGoogle Scholar
[19]Tobin, J., “Liquidity Preference as Behavior Towards Risk,” Review of Economic Studies, Vol. 26, February 1958, pp. 65–86.CrossRefGoogle Scholar
[20]Von Neumann, J., and Morgenstern, O., Theory of Games and Economic Behavior, 3rd ed., Princeton, N.J.: Princeton University Press, 1953.Google Scholar