The expected utility of portfolios of assets

DOI10.1016/0304-4068(93)90036-KzbMATH Open0782.90009MaRDI QIDQ690338FDOQ690338

Authors: Lars Tyge Nielsen 

Publication date: 10 December 1993

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

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zbMATH Keywords

portfolio choiceshort-sellingasset marketsvon Neumann-Morgenstern utility function

Mathematics Subject Classification ID

Utility theory (91B16) General equilibrium theory (91B50)

Cites Work

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• A Pseudo-Metric Space of Probability Measures and the Existence of Measurable Utility
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• Unbounded Utility Functions in Expected Utility Theory
• The utility of infinite menus
• An Axiomatic Model of Unbounded Utility Functions
• Unbounded expected utility and continuity

Cited In (6)

• On the General Utility of Discounted Markov Decision Processes
• A cooperative bargaining framework for decentralized portfolio optimization
• Pareto optima in incomplete financial markets
• Portfolio theory, job choice and the equilibrium structure of expected wages
• Portfolio Efficient Sets
• Additive portfolio improvement and utility-efficient payoffs

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