The expected utility of portfolios of assets (Q690338)
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scientific article; zbMATH DE number 458839
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| English | The expected utility of portfolios of assets |
scientific article; zbMATH DE number 458839 |
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The expected utility of portfolios of assets (English)
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10 December 1993
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Two models of asset markets and portfolio choice are described: in the first one a von Neumann-Morgenstern utility function is defined on the non-negative real line and short-selling is not allowed, in the second a von Neumann-Morgenstern utility function is defined on the entire real line and short-selling is allowed. A number of properties needed in the demand and equilibrium analysis is investigated.
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asset markets
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portfolio choice
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von Neumann-Morgenstern utility function
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short-selling
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0.8055094480514526
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0.795601487159729
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0.7944692373275757
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0.7876912355422974
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0.7876912355422974
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