A THEOREM ON PORTFOLIO SEPARATION WITH GENERAL PREFERENCES
成果类型：
Note
署名作者：
LEWBEL, A; PERRAUDIN, W
署名单位：
University of Cambridge
刊物名称：
JOURNAL OF ECONOMIC THEORY
ISSN/ISSBN：
0022-0531
发表日期：
1995
页码：
624-626
关键词：
摘要：
Necessary and sufficient restrictions upon arbitrary utility functions for portfolio separation for any degree are derived for complete markets, generalizing the expected utility theorems of Cass and Stiglitz (J. Econ. Theory 2 (1970), 122-160). Portfolio separation is shown to be nearly synonymous with Lewbel's (Econometrica 59 (1991), 711-730) definition of demand rank, which is characterized using standard duality methods. (C) 1995 Academic Press, Inc.