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Quadratic Approximations of the Portfolio Selection Problem When the Means and Variances of Returns Are Infinite

James A. Ohlson
Management Science
Vol. 23, No. 6 (Feb., 1977), pp. 576-584
Published by: INFORMS
Stable URL: http://www.jstor.org/stable/2630587
Page Count: 9
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Quadratic Approximations of the Portfolio Selection Problem When the Means and Variances of Returns Are Infinite
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Abstract

This paper derives quadratic approximations of the standard one-period portfolio selection model under the assumption that means and variances of returns are infinite. Samuelson [11], among others, has derived mean-variance approximations when moments are finite; hence, this paper weakens conditions sufficient to obtain quadratic approximations.

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