Normal view MARC view

Portfolio choice and equilibrium with expected-utility preferences

Author: Nielsen, Lars Tyge INSEAD Area: Finance Series: Working Paper ; 92/59/FIN Publisher: Fontainebleau : INSEAD, 1992.Language: EnglishDescription: 31 p.Type of document: INSEAD Working Paper Online Access: Click here Abstract: This paper exhibits conditions for the existence of satiation portfolios, the existence of optimal portfolios, and the existence of equilibrium in a model of asset markets where preferences for portfolios of assests are derived from expected utility based on a von Neumann-Morgenstern utility function and a joint distribution of total returns to the assets. The conditions are based on an analysis of directions of improvement (directions of recession of the preferred sets). In particular, the relation between absence of arbitrage and existence of optimal portfolios is investigated.
Tags: No tags from this library for this title. Add tag(s)
Log in to add tags.
Item type Current location Collection Call number Status Date due
INSEAD Working Paper Digital Library
PDF Available

This paper exhibits conditions for the existence of satiation portfolios, the existence of optimal portfolios, and the existence of equilibrium in a model of asset markets where preferences for portfolios of assests are derived from expected utility based on a von Neumann-Morgenstern utility function and a joint distribution of total returns to the assets. The conditions are based on an analysis of directions of improvement (directions of recession of the preferred sets). In particular, the relation between absence of arbitrage and existence of optimal portfolios is investigated.

Digitized

There are no comments for this item.

Log in to your account to post a comment.
Koha 3.18 - INSEAD Library Catalogue
Library Home | Contact Us | What's Koha?