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Existence of an optimal portfolio for every investor in an Arrow-Bebreu economy

Huang, J (2002) Existence of an optimal portfolio for every investor in an Arrow-Bebreu economy. Working Paper. The Department of Accounting and Finance, Lancaster University.

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    Abstract

    In this paper we discuss the existence of an optimal portfolio for every investor in a two-period Arrow -Debreu economy in which risky assets are contingent claims on aggregate consumption. Since we derive an optimal portfolio for every investor, the pricing kernel is endogenously determined. Hence the sufficient conditions for the existence of optimal portfolios given in this paper do not involve the pricing kernel; instead they are directly on investors preferences and beliefs. We also present a new approach to the equilibrium, which works with the space of investors first-period consumption. The case where investors have background risk is also discussed.

    Item Type: Monograph (Working Paper)
    Subjects: UNSPECIFIED
    Departments: Lancaster University Management School > Accounting & Finance
    ID Code: 48619
    Deposited By: ep_importer_pure
    Deposited On: 11 Jul 2011 22:02
    Refereed?: No
    Published?: Published
    Last Modified: 27 Jul 2012 01:11
    Identification Number:
    URI: http://eprints.lancs.ac.uk/id/eprint/48619

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