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Published November 1977 | public
Journal Article

Comments on qualitative results for investment proportions


Some mean/variance efficient portfolios will have positive investments in all individual assets when covariances satisfy the conditions given here. These conditions are more useful empirically than qualitative results that depend on the inverse covariance matrix. The prospect appears dim for general and useful qualitative results.

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© 1977 Published by Elsevier B.V. The authors wish to thank the caribou who contributed unselfishly to a pot roast served at the University of British Columbia Faculty Club in July, 1977.

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October 20, 2023