A pedagogical note on Baumol's gain-confidence limit criterion for portfolio selection and the probability of ruin

Paul Halpern*, Yehuda Kahane

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

Abstract

The Baumol gain-confidence limit concept for selecting the set of efficient portfolios is commonly used, probably because of its intuitive relationships to the problem of ruin. This note shows the differences between Baumol's idea and the ruin constraint.

Original languageEnglish
Pages (from-to)189-195
Number of pages7
JournalJournal of Banking and Finance
Volume4
Issue number2
DOIs
StatePublished - Jun 1980

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