Journal of Financial and Quantitative Analysis Vol. 2 No. 2 1967
Efficient Portfolio Selection for Pareto-Levy Investments
Abstract
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.
- DOI
- 10.2307/2329897
- Volume
- 2
- Issue
- 2
- Pages
- 107
- Sources
- openalex crossref