Fehr, David2011-01-242011-01-242006https://hdl.handle.net/10474/1658Version of RecordThe purpose of this paper is to consider optimal portfolio selection when a dominated asset is included in the menu of investment opportunities. We will explore whether mean-variance portfolio selection (MV) and expected utility of terminal wealth maximization maxim (EU) make compatible portfolio selection decisions in the presence of a dominating asset. A three asset, three state model is presented to highlight the inconsistency between MV and EU when a dominated asset is present. (Library-derived description)763942 bytesen-USAuthor retains all ownership rights. Further reproduction in violation of copyright is prohibitedmean-variance portfolio selectionwealth maximization maximportfolio valuationWorking Paperapplication/pdf