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- Title
Portfolio Selection in the Mean-Variance Model: A Note.
- Authors
NIELSEN, LARS TYGE
- Abstract
This article presents an examination of a mean-variance model of portfolio selection. The author notes that this model indicates that more of an asset is not necessarily a good thing, investors are typically only willing to take on a certain amount of risk even if the asset is performing well. The model that the author has presented indicates what this upper level of investment is and identifies the conditions that are most likely to facilitate this level of investing. The author discusses what the optimal portfolio looks like and examines how risk can influence the decisions an investor makes.
- Subjects
PORTFOLIO management (Investments); INVESTMENT analysis; EXPECTED returns; RISK aversion; INVESTMENT management; INVESTORS; UTILITY theory; RATE of return; RISK; FINANCIAL management; ASSET management; PORTFOLIO performance; ECONOMICS
- Publication
Journal of Finance (Wiley-Blackwell), 1987, Vol 42, Issue 5, p1371
- ISSN
0022-1082
- Publication type
Article
- DOI
10.1111/j.1540-6261.1987.tb04371.x