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Risk Disposition and the Separation Property in Portfolio Selection†

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  • Hakansson, Nils H.

Abstract

This article examines some aspects of the portfolio selection problem when the “no-easy-money-condition” holds and the investor is constrained to stay solvent. The possible presence of a non-capital income is also taken into consideration.

Suggested Citation

  • Hakansson, Nils H., 1969. "Risk Disposition and the Separation Property in Portfolio Selection†," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 4(4), pages 401-416, December.
    • Handle: RePEc:cup:jfinqa:v:4:y:1969:i:04:p:401-416_01
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    Cited by:

    1. Wolfgang Breuer & Marc Gurtler, 2006. "Performance Evaluation, Portfolio Selection, and HARA Utility," The European Journal of Finance, Taylor & Francis Journals, vol. 12(8), pages 649-669.
    2. Michele Costola & Bertrand Maillet & Zhining Yuan & Xiang Zhang, 2024. "Mean–variance efficient large portfolios: a simple machine learning heuristic technique based on the two-fund separation theorem," Annals of Operations Research, Springer, vol. 334(1), pages 133-155, March.
    3. Dybvig, Philip & Liu, Fang, 2018. "On investor preferences and mutual fund separation," Journal of Economic Theory, Elsevier, vol. 174(C), pages 224-260.
    4. Walter Schachermayer & Mihai Sîrbu & Erik Taflin, 2009. "In which financial markets do mutual fund theorems hold true?," Finance and Stochastics, Springer, vol. 13(1), pages 49-77, January.

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