The expected utility of portfolios of assets

DOI10.1016/0304-4068(93)90036-KMaRDI QIDQ690338zbMATH OpenFDO

Authors Lars Tyge Nielsen

Publication date 10 December 1993

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

Full work available at URL https://doi.org/10.1016/0304-4068(93)90036-K

zbMATH Keywords

asset marketsportfolio choiceshort-sellingvon Neumann-Morgenstern utility function

Mathematics Subject Classification ID

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

Review text

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.

Recommendations

• Maximum expected utility efficient portfolios
• Portfolio Efficient Sets
• Portfolio Theory for Independent Assets
• A theorem on portfolio separation with general preferences
• Uncertainty Aversion, Risk Aversion, and the Optimal Choice of Portfolio

Cites work

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Cited in

(8)

• Pareto optima in incomplete financial markets
• A theorem on portfolio separation with general preferences
• A cooperative bargaining framework for decentralized portfolio optimization
• Portfolio Efficient Sets
• On the General Utility of Discounted Markov Decision Processes
• Additive portfolio improvement and utility-efficient payoffs
• Utility theory, capital asset allocation, and Markowitz portfolio-selection model
• Portfolio theory, job choice and the equilibrium structure of expected wages

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