کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5077132 1374118 2011 7 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Portfolio selection and duality under mean variance preferences
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Portfolio selection and duality under mean variance preferences
چکیده انگلیسی
This paper uses duality to analyze an investor's behavior in a n-asset portfolio selection problem when the investor has mean variance preferences. The indirect utility and wealth requirement functions are used to derive Roy's identity, Shephard's lemma and the Slutsky equation. In our simple Slutsky equation the income effect is characterized by decreasing absolute risk aversion (DARA) and the substitution effect is always positive [negative] with respect to an asset's holding if the asset's mean return [risk] increases. Substitution effect and income effect work in the same direction presupposed mean variance preferences display DARA.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 48, Issue 1, January 2011, Pages 146-152
نویسندگان
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