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A note on reward-risk portfolio selection and two-fund separation


De Giorgi, Enrico; Hens, Thorsten; Mayer, Janos (2011). A note on reward-risk portfolio selection and two-fund separation. Finance Research Letters, 8(2):52-58.

Abstract

This paper presents a general reward-risk portfolio selection model and derives sufcient conditions for two-fund separation. In particular we show that many reward-risk models presented in the literature satisfy these conditions.

This paper presents a general reward-risk portfolio selection model and derives sufcient conditions for two-fund separation. In particular we show that many reward-risk models presented in the literature satisfy these conditions.

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Additional indexing

Item Type:Journal Article, refereed, original work
Communities & Collections:03 Faculty of Economics > Department of Banking and Finance
03 Faculty of Economics > Department of Business Administration
Dewey Decimal Classification:330 Economics
Language:English
Date:2011
Deposited On:19 Oct 2011 07:39
Last Modified:05 Apr 2016 15:02
Publisher:Elsevier
ISSN:1544-6131
Publisher DOI:https://doi.org/10.1016/j.frl.2010.11.003
Permanent URL: https://doi.org/10.5167/uzh-49937

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