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The generalized harmonic mean and a portfolio problem with dependent assets. (English) Zbl 0893.90014
Summary: P. L. McEntire [Management Sci. 30, 952-963 (1984; Zbl 0551.90003)] proved that, for a portfolio problem with independent assets, the generalized harmonic mean plays the role of a risk-free threshold. Based upon this property, he developed a criterion for including or excluding assets in an optimal portfolio, and he proved an ordering theorem showing that an optimal portfolio always consists of positive amounts of the assets with the largest mean values. Also, some commonly used utility functions were shown to the addition of other assets. In this paper we extend these results to the case where assets are dependent.

MSC:
91B28 Finance etc. (MSC2000)
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