Paul H. Cootner, The Theorems of Modern Finance in a General Equilibrium Setting: Paradoxes Resolved, The Journal of Financial and Quantitative Analysis, Vol. 12, No. 4, Proceedings of the 1977 Western Finance Association Meeting (Nov., 1977), pp. 553-562

We have formulated the mean-variance models of portfolio selection with stochastic cash demand. The results of the general model have indicated that the characteristic of the investor's stochastic cash demand, the liquidity risks of assets (measured by the covariance between an asset's return and the cash demand), and the structure of transfer costs also play important roles in the determination of the investor's optimal portfolio. We have also shown that the model of portfolio selection with stochastic cash demand can be greatly simplified if the assumption of symmetric transfer costs is invoked. Furthermore, it has been shown that the simplified model can be reformulated and solved by the LP techniques. Thus, LP formulation of portfolio selection with stochastic cash demand should have practical usefulness.Finally, along the line of works by Chen, Jen and Zionts [3, 4], Pogue [14, 15] and Stone and Reback [20], one can extend the analysis in this paper to the problem of dynamic portfolio management with stochastic cash demand and transfer costs.

Consider a productive investment project (or financial security), which would yield a stream of cash flows, positive and negative, over time. A major index of the acceptability of such a project is its internal rate of return, i.e., that rate of interest which discounts all the cash flows from the project to a present worth of zero. Soper [8] has developed a sufficient condition for the internal rate to be unique in the interval, (−1, ∞), along the real line. Then, if the project requires an initial outlay, if Soper's condition holds, and if the unique internal rate exceeds the market rate of interest in each period of the project's life, the project's present worth is positive, and hence, other things being equal, it is worth undertaking.

Ian H. Giddy, A Note on the Macroeconomic Assumptions of International Financial Management, The Journal of Financial and Quantitative Analysis, Vol. 12, No. 4, Proceedings of the 1977 Western Finance Association Meeting (Nov., 1977), pp. 601-605

H. Russell Fogler, William A. Groves, James G. Richardson, Bond Portfolio Strategies, Returns, and Skewness: A Note, The Journal of Financial and Quantitative Analysis, Vol. 12, No. 1 (Mar., 1977), pp. 127-140

A common dilemma faced by investors and portfolio managers is the tradeoff preference between risk and return. The general consensus and convention in finance and economics is that, in the aggregate, investors do not seek risk for its own sake. If so, it is reasonable to assume that returns on individual common stocks vary according to their risk. However, it is not the purpose of this paper to examine the ex post risk and return experience of various financial assets. This and related work have been treated by Sharpe [22] and by others. While some of these are studies of individual common stocks, the majority involves the ex post risk-return relationships of portfolios managed by institutional or professional investors. Although the conclusions are not totally consistent concerning the shape of the risk-return function, there is agreement that a generally positive relationship exists between risk and expected return. To date, little empiricism has been directed specifically to the ex ante risk-return preferences of individual common-stock investors. This paper takes a step in this direction by analyzing the ex ante risk-return preferences and expectations of individual common-stock investors. The purpose is two-fold: (1) to provide positive (as opposed to normative) evidence on the nature of the relationship between acceptable risk levels and expected annual rates of return; and (2) to examine the nature of this relationship between risk and the components of total return, income from dividends and capital appreciation.

Steven F. Maier, David W. Peterson, James H. Vander Weide, A Monte Carlo Investigation of Characteristics of Optimal Geometric Mean Portfolios, The Journal of Financial and Quantitative Analysis, Vol. 12, No. 2 (Jun., 1977), pp. 215-233