The expected utility of portfolios of assets
type: Item
instance of: scholarly article
title: The expected utility of portfolios of assets
zbMATH Open document ID: 0782.90009
DOI: 10.1016/0304-4068(93)90036-K
author: Lars Tyge Nielsen
published in: Journal of Mathematical Economics
publication date: 1993-12-10T00:00:00Z
review text: 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.
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 91B16
Mathematics Subject Classification ID: 91B50
zbMATH DE Number: 458839
zbMATH Keywords: asset markets
zbMATH Keywords: portfolio choice
zbMATH Keywords: von Neumann-Morgenstern utility function
zbMATH Keywords: short-selling
reviewed by: Klaus Ehemann
MaRDI profile type: Publication
cites work: Q4039802
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description: scientific article; zbMATH DE number 458839