Showing 1 - 10 of 242
The three sections of this paper support three related conclusions. First, asset demands with the familiar properties of wealth homogeneity and linearity in expected returns follow as close approximations from expected utility maximizing behavior under the assumptions of constant relative risk...
Persistent link: https://www.econbiz.de/10012787729
Among the numerous familiar sets of specific assumptions sufficient to derive mean-variance portfolio behavior from more general expected utility maximization in continuous time, the assumptions of constant relative risk aversion and joint normally distributed asset return assessments are also...
Persistent link: https://www.econbiz.de/10012774846
Persistent link: https://www.econbiz.de/10001519406
Persistent link: https://www.econbiz.de/10001537282
Persistent link: https://www.econbiz.de/10001538182
Persistent link: https://www.econbiz.de/10001432291
Persistent link: https://www.econbiz.de/10001468190
Persistent link: https://www.econbiz.de/10001485279
Persistent link: https://www.econbiz.de/10001672494
Persistent link: https://www.econbiz.de/10001852392