Portfolio Choice with Imperfect Capital Markets
Elie Appelbaum
(University of Western Ontario, Canada)
Eliakim Katz
(Bar Ilan University, Isreal)
60
Abstract
In this paper we consider the effects of certain capital market imperfections on portfolio choice problems. We show that as a result of these imperfections, the distribution functions of rates of return may depend on portfolio allocation, thus leading to non‐convexities and consequently to patterns of specialisation rather than diversification.
Citation
Appelbaum, E. and Katz, E. (1980), "Portfolio Choice with Imperfect Capital Markets", Journal of Economic Studies, Vol. 7 No. 3, pp. 151-162. https://doi.org/10.1108/eb002516
Publisher
:MCB UP Ltd
Copyright © 1980, MCB UP Limited