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A note on reward-risk portfolio selection and two-fund separation

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  • De Giorgi, Enrico
  • Hens, Thorsten
  • Mayer, Janos

Abstract

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.

Suggested Citation

  • De Giorgi, Enrico & Hens, Thorsten & Mayer, Janos, 2011. "A note on reward-risk portfolio selection and two-fund separation," Finance Research Letters, Elsevier, vol. 8(2), pages 52-58, June.
    • Handle: RePEc:eee:finlet:v:8:y:2011:i:2:p:52-58
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    References listed on IDEAS

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    Cited by:

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    3. Das, Sanjiv R. & Statman, Meir, 2013. "Options and structured products in behavioral portfolios," Journal of Economic Dynamics and Control, Elsevier, vol. 37(1), pages 137-153.
    4. Shallu Saini & Tejinder Sharma & Satyanarayana Parayitam, 2024. "The Relationship Between Financial Knowledge, Investment Strategy and Satisfaction From Pension Schemes: Evidence From India," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 31(1), pages 101-135, March.

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