A Comment on Baumol (E, L) Efficient Portfolios

Abstract

Baumol [Baumol, W. J. 1963. An expected gain-confidence limit criterion for portfolio selection. Management Sci. (October) 174–182.] has provided a framework which may be useful in utilizing any additional information about the investor's preferences between the expected yield from a portfolio and its variability. However, this usefulness applies only in the case where the investor rejects portfolios containing riskless assets.