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A note on reward-risk portfolio selection and two-fund separation.pdf

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A note on reward-risk portfolio selection and two-fund separation

Accepted Manuscript A note on reward-risk portfolio selection and two-fund separation Enrico De Giorgi, Thorsten Hens, Janos Mayer PII: S1544-6123(10)00066-8 DOI: 10.1016/j.frl.2010.11.003 Reference: FRL 208 To appear in: Finance Research Letters Received Date: 3 November 2010 Accepted Date: 22 November 2010 Please cite this article as: De Giorgi, E., Hens, T., Mayer, J., A note on reward-risk portfolio selection and two-fund separation, Finance Research Letters (2010), doi: 10.1016/j.frl.2010.11.003 This is a PDF file of an unedited manuscript that has been accepted for publication. As a service to our customers we are providing this early version of the manuscript. The manuscript will undergo copyediting, typesetting, and review of the resulting proof before it is published in its final form. Please note that during the production process errors may be discovered which could affect the content, and all legal disclaimers that apply to the journal pertain. A no te o n re w a rd-risk po rtfo lio se le c tio n a nd tw o -fund sepa ra tio n Enric o De G io rg i a,?, T ho rsten Hens b , Ja no s M a y er c aGrou p for M athem atics and Statistics, University of St. Gallen Bodanstrasse 6, C H-9000 St. Gallen. bSw iss Banking Institu te, University of Zu rich Plattenstrasse 32, C H-8032 Zu? rich. cInstitu te for Operations R esearch, University of Zu rich M ou ssonstrasse 15, C H-8044 Zu? rich. 1 5 th Decem b er 2 0 1 0 Abstract This p ap e r p re se n ts a ge n e ral re w ard -risk p ortfolio se le c tion m od e l an d d e riv e s su f- fi c ie n t con d ition s for tw o-fu n d se p aration . In p artic u lar w e show that m an y re w ard -risk m od e ls p re se n te d in the lite ratu re satisfy the se con d ition s. K eyw ords: Tw o-fu n d se p aration , re w ard -risk p re fe re n c e s. J EL Code: G11. 1Corresp onding author. T el. + 41 + 71 2242430, F ax . + 41 + 71 2242894. Email ad d resses: enrico.degiorgi@ unisg.ch (E nrico De G iorgi), thens@ isb.uzh.ch (T ho