STOCHASTIC

W. T. ZIEMBA
of Theorem 2 without the monotonicity assumption may be obtained by
letting Df replace a^ in Hanoch and Levy's proof for the mean-variance
case [12].
The theorem indicates that it is sufficient to limit consideration to only
those points that lie on the mean-a-dispersion (p-d) efficient surface. Let
the risky assets (xlt ...,xn) = x, and let f = (|1; ...,£„). Then the (n~d) surface
corresponding to assets (£u ...,£„) may be obtained by solving 7
(2)