Econometrica: Nov 1982, Volume 50, Issue 6
Portfolio Efficient Sets
Philip H. Dybvig, Stephen A. RossIn a portfolio problem with given asset returns, the portfolio efficient set is the set of portfolios chosen by any risk averse agent. Using an approach of Peleg and Yaari , we characterize the portfolio efficient set and derive some of its properties. In particular, we show that it may not be convex, proving that a central result of mean variance theory, the efficiency of the market portfolio, does not generalize. Finally, a characterization of the efficiency of several observations gives a version of revealed preference theory for incomplete markets.
Log In To View Full Content