SIMPLE CRITERIA FOR OPTIMAL PORTFOLIO SELECTION

The following sections are included:

• THE SINGLE INDEX MODEL AND THE CONSTRUCTION OF OPTIMAL PORTFOLIOS

  • Optimum Portfolios with Short Selling

  • Optimal Portfolios When Short Sales Are Not Allowed

• CONSTANT CORRELATION COEFFICIENTS AND THE CONSTRUCTION OF OPTIMAL PORTFOLIOS

  • Optimal Policies When Short Sales Are Allowed

  • Optimal Policies When Short Sales Are Not Allowed

• CONCLUSION

• APPENDIX A

• APPENDIX B

• APPENDIX C

• REFERENCES