Back to Search
Start Over
THE FUNDAMENTAL THEOREM OF PARAMETER-PREFERENCE SECURITY VALUATION.
- Source :
- Journal of Financial & Quantitative Analysis; Jan1973, Vol. 8 Issue 1, p61-69, 9p
- Publication Year :
- 1973
-
Abstract
- Under the assumption that individuals are single-period maximizers of the expected utility of their future wealth, this essay extends the mean-variance security valuation model developed by Sharpe [10], Lintner [4, 5, and 6], and Mossin [7 and 8] to a general parameter-preference model, with and without the simplifications of homogeneous subjective probabilities and the existence of a risk-free security. Results with quadratic and cubic utility are developed as special cases. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 00221090
- Volume :
- 8
- Issue :
- 1
- Database :
- Complementary Index
- Journal :
- Journal of Financial & Quantitative Analysis
- Publication Type :
- Academic Journal
- Accession number :
- 5723458
- Full Text :
- https://doi.org/10.2307/2329748