A Comment on Baumol (<i>E, L</i>) Efficient Portfolios

Baumol [Baumol, W. J. 1963. An expected gain-confidence limit criterion for portfolio selection. Management Sci. (October) 174–182.] has provided a framework which may be useful in utilizing any additional information about the investor's preferences between the expected yield from a portfolio and its variability. However, this usefulness applies only in the case where the investor rejects portfolios containing riskless assets.

• 저널Management Science · 12(7) · 619–621
• 토픽Simulation Techniques and Applications · Management Science and Operations Research
• DOI10.1287/mnsc.12.7.619
• 저자