SIMPLE CRITERIA FOR OPTIMAL PORTFOLIO SELECTION: TRACING OUT THE EFFICIENT FRONTIER.

Previous work by the authors has described how optimal portfolios can be assembled given various assumptions about the variance covariance arrangement of stock returns, and stipulating the existence of a risk-free asset. The current paper offers additional simplification by relaxing the requirement for a risk-free asset. The authors show how to construct a complete frontier of efficient portfolios for the single-index model, and for when identical correlation coefficients prevail among all stocks.