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A Note on the Portfolio Selection Problem
Authors:Email author" target="_blank">Franco?PellereyEmail author  Patrizia?Semeraro
Institution:(1) Dipartimento di Matematica, Politecnico di Torino, Corso Duca degli Abruzzi, 24, 10129 Turin, Italy
Abstract:In this note we provide new results of interest in the portfolio choice problem when the risky opportunities are correlated: for a general vector (X1, X2,..., Xn) of risky opportunities we give new conditions for stochastic comparison among different portfolios choices and new necessary and sufficient conditions to characterize the portfolio which gives the maximal expected utility.
Keywords:portfolio selection  expected utility diversification  increasing concave order  positive dependence
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