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E. Elton, M. Gruber, M. Padberg (1976)
Simple Criteria for Optimal Portfolio SelectionJournal of Finance, 31
E. Elton, M. Gruber (1973)
ESTIMATING THE DEPENDENCE STRUCTURE OF SHARE PRICES —IMPLICATIONS FOR PORTFOLIO SELECTIONJournal of Finance, 28
E. Elton, M. Gruber, M. Padberg (1977)
Simple Criteria for Optimal Portfolio Selection with Upper BoundsOper. Res., 25
J. Lintner (1965)
THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETSThe Review of Economics and Statistics, 47
E. Elton, M. Gruber, M. Padberg (1977)
Simple Rules for Optimal Portfolio Selection: The Multi Group CaseJournal of Financial and Quantitative Analysis, 12
SIMPLE CRITERIA FOR OPTIMAL PORTFOLIO SELECTION: TRACING OUT THE EFFICIENT FRONTIER EDWIN J. ELTON, MARTIN J. GRUBER AND MANFRED W. PADBERG* IN A SERIES OF PAPERS [1], [2], [3], and [4], we have shown that under alternative sets of assumptions about the form of the variance covariance structure of common stock returns, simple ranking devices can be used to determine optimal portfolios. These simple ranking devices have two advantages. First, the characteristics of a stock that make it desirable are unique to an individual stock and easily understood by portfolio managers. Secondly, the optimum portfolio is easy to determine and can normally be found with pencil and paper or at worst a hand calculator. In each of these papers, we assumed the existence of a risk free asset and hence a unique optimum portfolio. This was not necessary. The purpose of this paper is to show how this assumption can be relaxed and our simple technique used to generate the full efficient frontier. In particular, we will show how the simple techniques described in the above papers can be used to find all corner portfolios. Since portfolios intermediate to corner portfolios are linear combinations of corner portfolios, this
The Journal of Finance – Wiley
Published: Mar 1, 1978
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