The expected utility of portfolios of assets

DOI10.1016/0304-4068(93)90036-KzbMath0782.90009MaRDI QIDQ690338

Lars Tyge Nielsen

Publication date: 10 December 1993

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

zbMATH Keywords

portfolio choiceshort-sellingasset marketsvon Neumann-Morgenstern utility function

Mathematics Subject Classification ID

Utility theory (91B16) General equilibrium theory (91B50)

Related Items

On the General Utility of Discounted Markov Decision Processes ⋮ A cooperative bargaining framework for decentralized portfolio optimization ⋮ Pareto optima in incomplete financial markets

Cites Work

• Unbounded expected utility and continuity
• The utility of infinite menus
• An Axiomatic Model of Unbounded Utility Functions
• Unbounded Utility Functions in Expected Utility Theory
• A Pseudo-Metric Space of Probability Measures and the Existence of Measurable Utility
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