The familiar two-parameter model for portfolio decisions, attributed to Markowitz [11], has individuals maximizing an objective function, ϕ [E(Y), V(Y)], of mean and variance of end-of-period wealth, subject to a constraint imposed by initial wealth. In the usual version there is an arbitrary number, n, of risky assets with stochastic end-of-period values (price plus dividend) represented by the vector X with exogenously given mean vector μ and nonsingular variance matrix σ. There is also one riskless asset, whose certain end-of-period value per dollar invested is p. Final wealth, as constrained by initial wealth, W, is given by Y = WP + a' (X – OP), where a and P are vectors of risky asset quantities and prices. Assuming ϕE > 0 (wealth preference), ϕV

Dennis W. Draper, Discussion: Information Sets, Macroeconomic Reform, and Stock Prices, The Journal of Financial and Quantitative Analysis, Vol. 16, No. 4, Proceedings of 16th Annual Conference of the Western Finance Association, June 18-20, 1981, Jackson Hole, Wyoming (Nov., 1981), pp. 511-513

Journal Article The Elasticity of Derived Net Supply and a Generalized Le Chatelier Principle Get access W. E. Diewert W. E. Diewert University of British Columbia Search for other works by this author on: Oxford Academic Google Scholar The Review of Economic Studies, Volume 48, Issue 1, January 1981, Pages 63–80, https://doi.org/10.2307/2297121 Published: 01 January 1981 Article history Received: 01 August 1977 Accepted: 01 March 1980 Published: 01 January 1981

Several recent papers have developed partial or complete characterization of classes of social decision functions in terms of constructs based upon the associated collections of decisive sets. Hansson (1976) interpreted Arrow’s impossibility theorem in terms of the associated ultrafilter of decisive sets. Brown (1973) extended this correspondence to the case of acyclic choice functions and prefilters. To deal with the multiplicity of social decision functions having the same collection of decisive sets, Brown restricted the class of social decision functions while Ferejohn and Fishburn (1979) and Blau and Brown (1980) added structure to the collections of decisive sets, and thereby obtained a characterization of certain social decision functions.

This study examines the empirical relationship between the return and the total market value of NYSE common stocks. It is found that smaller firms have had higher risk adjusted returns, on average, than larger firms. This ‘size effect’ has been in existence for at least forty years and is evidence that the capital asset pricing model is misspecified. The size effect is not linear in the market value; the main effect occurs for very small firms while there is little difference in return between average sized and large firms. It is not known whether size per se is responsible for the effect or whether size is just a proxy for one or more true unknown factors correlated with size.

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