A THEOREM ON PORTFOLIO SEPARATION WITH GENERAL PREFERENCES

被引：0

作者：

LEWBEL, A ^{[1
]}

PERRAUDIN, W ^{[1
]}

机构：

[1] UNIV CAMBRIDGE,DEPT APPL ECON,CAMBRIDGE CB3 9DE,ENGLAND

来源：

JOURNAL OF ECONOMIC THEORY | 1995年 / 65卷 / 02期

关键词：

D O I：

暂无

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Necessary and sufficient restrictions upon arbitrary utility functions for portfolio separation for any degree are derived for complete markets, generalizing the expected utility theorems of Cass and Stiglitz (J. Econ. Theory 2 (1970), 122-160). Portfolio separation is shown to be nearly synonymous with Lewbel's (Econometrica 59 (1991), 711-730) definition of demand rank, which is characterized using standard duality methods. (C) 1995 Academic Press, Inc.

引用

页码：624 / 626

页数：3

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