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Portfolio Efficient Sets

Author

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  • Dybvig, Philip H
  • Ross, Stephen A

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Suggested Citation

  • Dybvig, Philip H & Ross, Stephen A, 1982. "Portfolio Efficient Sets," Econometrica, Econometric Society, vol. 50(6), pages 1525-1546, November.
  • Handle: RePEc:ecm:emetrp:v:50:y:1982:i:6:p:1525-46
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    Citations

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    Cited by:

    1. Jouini, Elyes & Kallal, Hedi, 2001. "Efficient Trading Strategies in the Presence of Market Frictions," Review of Financial Studies, Society for Financial Studies, vol. 14(2), pages 343-369.
    2. Shalit, Haim & Yitzhaki, Shlomo, 1985. "Evaluating the Mean-Gini Approach to Portfolio Selection," Working Papers 232632, Hebrew University of Jerusalem, Center for Agricultural Economic Research.
    3. Zhang, Duo, 2008. "Non-convex optimal portfolio sets and constant relative risk aversion," Journal of Economics and Business, Elsevier, vol. 60(6), pages 551-555.
    4. McCamley, Francis P. & Rudel, Richard K., 2000. "Shadow Price Implications Of Second Degree Stochastic Dominance Efficiency," 2000 Annual Meeting, June 29-July 1, 2000, Vancouver, British Columbia 36370, Western Agricultural Economics Association.
    5. Elyès Jouini, 2003. "Market imperfections , equilibrium and arbitrage," Post-Print halshs-00167131, HAL.
    6. Post, G.T., 2003. "Asset prices and omitted moments; A stochastic dominance analysis of market efficiency," ERIM Report Series Research in Management ERS-2003-017-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
    7. Merton, Robert, 1990. "Capital market theory and the pricing of financial securities," Handbook of Monetary Economics,in: B. M. Friedman & F. H. Hahn (ed.), Handbook of Monetary Economics, edition 1, volume 1, chapter 11, pages 497-581 Elsevier.
    8. Larry G. Epstein & Angelo Melino, 1995. "A Revealed Preference Analysis of Asset Pricing Under Recursive Utility," Review of Economic Studies, Oxford University Press, vol. 62(4), pages 597-618.
    9. repec:eee:jetheo:v:174:y:2018:i:c:p:224-260 is not listed on IDEAS
    10. repec:eee:jetheo:v:173:y:2018:i:c:p:257-288 is not listed on IDEAS
    11. Thorlund-Petersen, Lars, 2001. "Third-degree stochastic dominance and axioms for a convex marginal utility function," Mathematical Social Sciences, Elsevier, vol. 41(2), pages 167-199, March.
    12. Dana, R. A., 2004. "Market behavior when preferences are generated by second-order stochastic dominance," Journal of Mathematical Economics, Elsevier, vol. 40(6), pages 619-639, September.
    13. Post, Thierry, 2005. "A Stochastic Dominance Approach to Spanning. With an Application to the January Effect/Una aproximación mediante la metodología del dominio estocástico al fenómeno del SPANNING. Una aplicación al efec," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 23, pages 7-25, Abril.
    14. Borglin, Anders & Flåm, Sjur, 2007. "Rationalizing Constrained Contingent Claims," Working Papers 2007:12, Lund University, Department of Economics.
    15. Rose-Anne Dana, 2005. "A Representation Result For Concave Schur Concave Functions," Mathematical Finance, Wiley Blackwell, vol. 15(4), pages 613-634.
    16. Post, G.T., 2003. "Statistical Inference on Stochastic Dominance Efficiency. Do Omitted Risk Factors Explain the Size and Book-to-Market Effects?," ERIM Report Series Research in Management ERS-2003-017-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
    17. Marcello Basili & Carlo Zappia, 2018. "Ellsberg’s Decision Rules and Keynes’s Long-Term Expectations," Department of Economics University of Siena 777, Department of Economics, University of Siena.
    18. Post, G.T., 2001. "Testing for Stochastic Dominance with Diversification Possibilities," ERIM Report Series Research in Management ERS-2001-38-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
    19. repec:rss:jnljef:v1i2p3 is not listed on IDEAS

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