Resource title

Portfolio choice and equilibrium with expected-utility preferences

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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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en

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application/pdf

Resource resource URL

http://flora.insead.edu/fichiersti_wp/inseadwp1992/92-59.pdf

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Copyright INSEAD. All rights reserved