Econometrica Vol. 50 No. 6 1982
Portfolio Efficient Sets
Abstract
[In a portfolio problem with given asset returns, the portfolio efficient set is the set of portfolios chosen by any risk averse agent. Using an approach of Peleg and Yaari [13], we characterize the portfolio efficient set and derive some of its properties. In particular, we show that it may not be convex, proving that a central result of mean variance theory, the efficiency of the market portfolio, does not generalize. Finally, a characterization of the efficiency of several observations gives a version of revealed preference theory for incomplete markets.]
- DOI
- 10.2307/1913394
- Volume
- 50
- Issue
- 6
- Pages
- 1525
- Sources
- bibtex:phds-export.bib crossref openalex