Quadratic Approximations of the Portfolio Selection Problem When the Means and Variances of Returns are Infinite

This paper derives quadratic approximations of the standard one-period portfolio selection model under the assumption that means and variances of returns are infinite. Samuelson [Samuelson, P. A. 1970. The fundamental approximation theorem of portfolio analysis in terms of means, variances, and higher moments. Rev. Econom. Stud. 37 (October).], among others, has derived mean-variance approximations when moments are finite; hence, this paper weakens conditions sufficient to obtain quadratic approximations.

• 저널Management Science · 23(6) · 576–584
• 토픽Financial Markets and Investment Strategies · Finance
• DOI10.1287/mnsc.23.6.576
• 저자James A. Ohlson