A Note on the Portfolio Selection Problem

In this note we provide new results of interest in the portfolio choice problem when the risky opportunities are correlated: for a general vector (X <Subscript>1</Subscript>, X <Subscript>2</Subscript>,..., X <Subscript> n </Subscript>) of risky opportunities we give new conditions for stochastic comparison among different portfolios choices and new necessary and sufficient conditions to characterize the portfolio which gives the maximal expected utility. Copyright Springer 2005