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A Note on Portfolio Selection and Investors' Wealth

Author

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  • Levy, Haim
  • Sarnat, Marshall

Abstract

Efficiency analysis is concerned with isolating the efficient subset of investments (portfolios) for all investors belonging to a specified group. In order to construct a meaningful efficiency criterion, i.e., one which holds for more than one investor, care must be exercised to ensure that the investors' efficient set is independent of their wealth.

Suggested Citation

  • Levy, Haim & Sarnat, Marshall, 1971. "A Note on Portfolio Selection and Investors' Wealth," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 6(1), pages 639-642, January.
    • Handle: RePEc:cup:jfinqa:v:6:y:1971:i:01:p:639-642_02
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    Cited by:

    1. Levy, Moshe, 2022. "An inter-temporal CAPM based on First order Stochastic Dominance," European Journal of Operational Research, Elsevier, vol. 298(2), pages 734-739.

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