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)

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Cites work

• A Pseudo-Metric Space of Probability Measures and the Existence of Measurable Utility
• An Axiomatic Model of Unbounded Utility Functions
• scientific article; zbMATH DE number 3784589 (Why is no real title available?)
• scientific article; zbMATH DE number 41812 (Why is no real title available?)
• scientific article; zbMATH DE number 192915 (Why is no real title available?)
• scientific article; zbMATH DE number 3307201 (Why is no real title available?)
• scientific article; zbMATH DE number 3357742 (Why is no real title available?)
• The utility of infinite menus
• Unbounded expected utility and continuity
• Unbounded Utility Functions in Expected Utility Theory

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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