The expected utility of portfolios of assets
Two models of asset markets and portfolio choice are described: in the first one a von Neumann-Morgenstern utility function is defined on the non-negative real line and short-selling is not allowed, in the second a von Neumann-Morgenstern utility function is defined on the entire real line and short-selling is allowed. A number of properties needed in the demand and equilibrium analysis is investigated.
von Neumann-Morgenstern utility function
scientific article; zbMATH DE number 458839