THE ARBITRAGE PRICING THEOREM WITH NONEXPECTED UTILITY PREFERENCES
成果类型：
Article
署名作者：
KELSEY, D; MILNE, F
署名单位：
Queens University - Canada
刊物名称：
JOURNAL OF ECONOMIC THEORY
ISSN/ISSBN：
0022-0531
DOI：
10.1006/jeth.1995.1020
发表日期：
1995
页码：
557-574
关键词：
摘要：
The arbitrage pricing theorem of finance shows that in certain circumstances the price of a financial asset may be written as a linear combination of the prices of certain market factors. This result is usually proved with von Neumann-Morgenstern preferences. In this paper we show that the result is robust in the sense that it will remain true if certain kinds of non-expected utility preferences are used. We consider Machina preferences, the rank dependent model, and non-additive subjective probabilities. (C) 1995 Academic Press, Inc.