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References
Markowitz, H.M., “Portfolio Selection,” Journal of Finance, 7, March 1952, pp. 77–91, Portfolio Selection, New York, Wiley 1959, and Mean-Variance Analysis in Portfolio Choiceand Capital Markets, Basil Blackwell, New York, 1987.
Sharpe, W.F., “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk,” Journal of Finance, 19, September 1964, pp. 425–442.
Lintner, J., “Security Prices, Risk and Maximal Gain from Diversification,” Journal of Finance, Dec. 1965, pp. 587–615.
Merton, R.C., “An Intertemporal Capital Asset Pricing Model,” Econometrica, September, 1973.
For more details on the lognormal distribution, see Aitchison, J., and J.A.C. Brown, The Lognormal Distribution, Cambridge: Cambridge University Press, 1963.
See Aitchison, J., and J.A.C. Brown, The Lognormal Distribution, Cambridge: Cambridge University Press, 1963 footnote 5.
Levy H., and Kroll, Y., “Stochastic Dominance with Riskless Assets,” Journal of Financial and Quantitative Analyses, 11, December 1976, pp. 743–773.
The proof of this theorem is very long and cumbersome; hence, for the sake of brevity, it is not provided in the book. It appears in Kroll, Y., “Preferences Among Combinations of Risky Assets and a Riskless Asset: Criteria and Implication,” Ph.D. dissertation, Hebrew University, Israel, 1977.
For the density function and other properties of truncated normal distribution, see Johnson, N., and S. Kotz Continuous Univariate Distributions, Boston: Houghton Mifflin, 1970.
See Baumol, W.J., “An Expected Gain Confidence Limit Criterion for Portfolio Selection,” Management Science, October, 10, 1963, pp. 174–182.
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(2006). Stochastic Dominance with Specific Distributions. In: Stochastic Dominance. Studies in Risk and Uncertainty, vol 12. Springer, Boston, MA . https://doi.org/10.1007/0-387-29311-6_6
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