GENERALIZED MEAN-VARIANCE TRADEOFFS FOR BEST PERTURBATION CORRECTIONS TO APPROXIMATE PORTFOLIO DECISIONS

Authors

  • Paul A. Samuelson,

  • Robert C. Merton


  • This paper is a spin-off of a longer study [8] by the authors dealing with fallacious log-normal approximations in portfolio decision making. We owe thanks to the National Science Foundation for financial support.

Ancillary