Simple Rules for Optimal Portfolio Selection: The Multi Group Case

Edwin J. Elton · Martin J. Gruber · Manfred W. Padberg

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Risk and Portfolio Optimization Financial Markets and Investment Strategies Financial Analysis and Corporate Governance

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Edwin J. Elton, Martin J. Gruber, Manfred W. Padberg, Simple Rules for Optimal Portfolio Selection: The Multi Group Case, The Journal of Financial and Quantitative Analysis, Vol. 12, No. 3 (Sep., 1977), pp. 329-345

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1975THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.]1973ESTIMATING THE DEPENDENCE STRUCTURE OF SHARE PRICES —IMPLICATIONS FOR PORTFOLIO SELECTION 1967An Empirical Evaluation of Alternative Portfolio-Selection Models 1971A Linear Programming Approximation for the General Portfolio Analysis Problem 1967A Linear Programming Algorithm for Mutual Fund Portfolio Selection 1967CRITERIA FOR PORTFOLIO BUILDING 1976Finance as a Dynamic Process

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