Article1974

GENERALIZED MEAN‐VARIANCE TRADEOFFS FOR BEST PERTURBATION CORRECTIONS TO APPROXIMATE PORTFOLIO DECISIONS*

Paul Anthony Samuelson · Robert C. Merton

31 citations0/0 files storedThe Journal of Finance

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Risk and Portfolio Optimization Financial Markets and Investment Strategies Stochastic processes and financial applications

Abstract

Paul A. Samuelson, Robert C. Merton, Generalized Mean-Variance Tradeoffs for Best Perturbation Corrections to Approximate Portfolio Decisions, The Journal of Finance, Vol. 29, No. 1 (Mar., 1974), pp. 27-40

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References

1959Portfolio Selection: Efficient Diversification of Investments 1958Liquidity Preference as Behavior Towards Risk 1970The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments 1959Criteria for Choice Among Risky Ventures 1974Fallacy of the log-normal approximation to optimal portfolio decision-making over many periods 1971The “Fallacy” of Maximizing the Geometric Mean in Long Sequences of Investing or Gambling 1971MULTI‐PERIOD MEAN‐VARIANCE ANALYSIS: TOWARD A GENERAL THEORY OF PORTFOLIO CHOICE*1960Investment policies for expanding businesses optimal in a long‐run sense

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