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.| Item type | Current location | Collection | Call number | Status | Date due | Barcode | Item holds |
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Digital Library | Available | BC000989 |
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.
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