Introduction

Hidden beneath its many facets and different aspects, veiled by inexhaustibly many contributions on all those different aspects, and obscured by a swarm of buzz words originating from the trading floors and back offices of the investment community, lies the plain core problem of portfolio choice theory: how to choose. Portfolio choice, or portfolio selection, is concerned with how much of a given wealth to devote to individual assets, that is, which weights to assign to each asset, that is, which portfolio to choose. Portfolio choice theory is thus nothing but an application of decision theory. It should be treated within this framework, unperturbed by all the buzzing.