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The Generalized Harmonic Mean And A Portfolio Problem With Dependent Assets

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  • MASAAKI KIJIMA

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  • Masaaki Kijima, 1997. "The Generalized Harmonic Mean And A Portfolio Problem With Dependent Assets," Theory and Decision, Springer, vol. 43(1), pages 71-87, July.
    • Handle: RePEc:kap:theord:v:43:y:1997:i:1:p:71-87
    DOI: 10.1023/A:1004918708964
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    References listed on IDEAS

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    1. Masaaki Kijima & Masamitsu Ohnishi, 1996. "Portfolio Selection Problems Via The Bivariate Characterization Of Stochastic Dominance Relations1," Mathematical Finance, Wiley Blackwell, vol. 6(3), pages 237-277, July.
    2. Scheffman, D T, 1975. "A Definition of Generalized Correlation and Its Application for Portfolio Analysis," Economic Inquiry, Western Economic Association International, vol. 13(2), pages 277-286, June.
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    Cited by:

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    2. David A. Hennessy, 2006. "On Monoculture and the Structure of Crop Rotations," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 88(4), pages 900-914.
    3. Hennessy, David A. & Lapan, Harvey E., 2006. "On the nature of certainty equivalent functionals," Journal of Mathematical Economics, Elsevier, vol. 43(1), pages 1-10, December.
    4. Cheung, Ka Chun & Yang, Hailiang, 2004. "Ordering optimal proportions in the asset allocation problem with dependent default risks," Insurance: Mathematics and Economics, Elsevier, vol. 35(3), pages 595-609, December.
    5. Ephraim Clark & Octave Jokung, 1999. "A Note on Asset Proportions, Stochastic Dominance, and the 50% Rule," Management Science, INFORMS, vol. 45(12), pages 1724-1727, December.

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