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A note on reward-risk portfolio selection and two-fund separation
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A note on reward-risk portfolio selection and two-fund separation
Journal
Finance Research Letters
ISSN
1544-6123
ISSN-Digital
1544-6131
Type
journal article
Date Issued
2011-06-01
Author(s)
De Giorgi, Enrico
Hens, Thorsten
Mayer, Janos
DOI
10.1016/j.frl.2010.11.003
Abstract
This paper presents a general reward-risk portfolio selection model and derives sufficient conditions for two-fund separation. In particular we show that many reward-risk models presented in the literature satisfy these conditions.
Language
English
Keywords
Two-fund separation
Reward-risk preferences
HSG Classification
contribution to scientific community
Refereed
Yes
Publisher
Elsevier Science
Publisher place
Amsterdam
Volume
8
Number
2
Start page
52
End page
58
Pages
7
URL
https://www.alexandria.unisg.ch/handle/20.500.14171/94047
Subject(s)
economics
Division(s)
SEPS - School of Econ...
MS - Faculty of Mathe...
University of St.Gall...
Eprints ID
71131