Before revision: We revisit mean-risk portfolio selection in a one-period financial market where risk is quantified by a positively homogeneous risk measure \rho on L^1 . We first show that under mild assumptions, the set of optimal portfolios for a fixed return is nonempty and compact.
After revision: We revisit mean-risk portfolio selection in a one-period financial market where risk is quantified by a positively homogeneous risk measure \rho . We first show that under mild assumptions, the set of optimal portfolios for a fixed return is nonempty and compact.