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Efficient Portfolio Selection for Pareto-Levy Investments
The Markowitz analysis of efficient portfolio selection, which can be interpreted as solving the quadratic-programming problem of minimizing the variance of a normal variate subject to each prescribed mean value, easily can be generalized (in the special case of independently distributed investments) to the concave-programming problem of minimizing the “dispersion” of a stable Pareto-Lévy variate subject to each prescribed mean value. Some further generalizations involving interdependent distributions will also be presented here.
General Proof that Diversification Pays
“Don't put all your eggs in one basket, ” is a familiar adage. Economists, such as Marschak, Markowitz, and Tobin, who work only with mean income and its variance, can give specific content to this rule—namely, putting a fixed total of wealth equally into independently, identically distributed investments will leave the mean gain unchanged and will minimize the variance.
Papers and Proceedings of the Second Annual Meeting of the Western Finance Association, Berkeley, August 25-26, 1966
Papers and Proceedings of the Second Annual Meeting of the Western Finance Association, Berkeley, August 25-26, 1966, The Journal of Financial and Quantitative Analysis, Vol. 1, No. 4 (Dec., 1966), pp. 94-125
JFQ volume 1 issue 2 Back matter
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JFQ volume 1 issue 2 Cover and Front matter
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Errata: A Simulation Study of Effects of Multicollinearity and Autocorrelation on Estimates of Parameters
John S. Y. Chiu, Errata: A Simulation Study of Effects of Multicollinearity and Autocorrelation on Estimates of Parameters, The Journal of Financial and Quantitative Analysis, Vol. 1, No. 4 (Dec., 1966), pp. 126-127
JFQ volume 1 issue 1 Cover and Front matter
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Instructions to Authors
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Stockholder Distribution Decisions: Share Repurchases on Dividends?: Discussion
John P. Shelton, Stockholder Distribution Decisions: Share Repurchases on Dividends?: Discussion, The Journal of Financial and Quantitative Analysis, Vol. 1, No. 1, Proceedings of the First Annual Meeting of the Western Finance Association (Mar., 1966), pp. 26-28a