A NOTE ON OPTIMAL PORTFOLIO SELECTION UNDER STABLE PARETIAN DISTRIBUTIONS*
证明，在放宽收益率正态性假设、允许稳定帕累托分布后，Elton、Gruber和Padberg的排序程序与Kwan的非排序程序仍得到相同的最优解，这对多指数模型下的投资组合分析很重要。
ABSTRACT Elton, Gruber, and Padberg's [2] [3] ranking procedure and Kwan's [6] nonranking procedure for optimal portfolio selection lead to the same solution. This is because of a particular functional property of the cutoff rate for security performance. In this note, the robustness of that functional property is demonstrated the normality of security returns assumed in the above studies is relaxed to encompass the general family of stable Paretian distributions. The proof here is an important step toward portfolio analysis using some multiindex models when securities cannot be ranked.