Portfolio selection and duality under mean variance preferences

This paper uses duality to analyze an investor’s behavior in a n -asset portfolio selection problem when the investor has mean variance preferences. The indirect utility and wealth requirement functions are used to derive Roy’s identity, Shephard’s lemma and the Sluts...
Ausführliche Beschreibung

Gespeichert in:

Autor*in:	Eichner, Thomas [verfasserIn]

Format:	E-Artikel
Sprache:	Englisch

Erschienen:	2010

Schlagwörter:	Versicherungsökonomik / Versicherungsmathematik
Schlagwörter:	Mean Variance Slutsky equation Substitution effect

Übergeordnetes Werk:	Enthalten in: Insurance - Amsterdam : North Holland Publ. Co., 1982, 48, Seite 146-152
Übergeordnetes Werk:	volume:48 ; pages:146-152

DOI / URN:	10.1016/j.insmatheco.2010.10.008

Katalog-ID:	ELV002196662

Internformat


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520			\|a This paper uses duality to analyze an investor’s behavior in a n -asset portfolio selection problem when the investor has mean variance preferences. The indirect utility and wealth requirement functions are used to derive Roy’s identity, Shephard’s lemma and the Slutsky equation. In our simple Slutsky equation the income effect is characterized by decreasing absolute risk aversion (DARA) and the substitution effect is always positive [negative] with respect to an asset’s holding if the asset’s mean return [risk] increases. Substitution effect and income effect work in the same direction presupposed mean variance preferences display DARA.
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650		4	\|a Slutsky equation
650		4	\|a Substitution effect
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bklnumber	31.99 83.03 83.70
publishDate	2010
allfields	10.1016/j.insmatheco.2010.10.008 doi (DE-627)ELV002196662 (ELSEVIER)S0167-6687(10)00122-8 DE-627 ger DE-627 rda eng 31.99 bkl 83.03 bkl 83.70 bkl Eichner, Thomas verfasserin aut Portfolio selection and duality under mean variance preferences 2010 nicht spezifiziert zzz rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier This paper uses duality to analyze an investor’s behavior in a n -asset portfolio selection problem when the investor has mean variance preferences. The indirect utility and wealth requirement functions are used to derive Roy’s identity, Shephard’s lemma and the Slutsky equation. In our simple Slutsky equation the income effect is characterized by decreasing absolute risk aversion (DARA) and the substitution effect is always positive [negative] with respect to an asset’s holding if the asset’s mean return [risk] increases. Substitution effect and income effect work in the same direction presupposed mean variance preferences display DARA. 1.1\x Versicherungsökonomik (DE-2867)18741-3 stw 1.2\x Versicherungsmathematik (DE-2867)13823-5 stw Mean Variance Slutsky equation Substitution effect Enthalten in Insurance Amsterdam : North Holland Publ. Co., 1982 48, Seite 146-152 Online-Ressource (DE-627)319290484 (DE-600)2010248-3 (DE-576)093890818 nnns volume:48 pages:146-152 GBV_USEFLAG_U SYSFLAG_U GBV_ELV SSG-OPC-MAT GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_26 GBV_ILN_31 GBV_ILN_32 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_105 GBV_ILN_110 GBV_ILN_120 GBV_ILN_150 GBV_ILN_151 GBV_ILN_187 GBV_ILN_224 GBV_ILN_370 GBV_ILN_602 GBV_ILN_702 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2009 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2027 GBV_ILN_2034 GBV_ILN_2038 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2056 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2118 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2190 GBV_ILN_2336 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_4012 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4326 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4393 31.99 Mathematik: Sonstiges 83.03 Methoden und Techniken der Volkswirtschaft 83.70 Banken Versicherungen SEC-16000 SKW AR 48 146-152
spelling	10.1016/j.insmatheco.2010.10.008 doi (DE-627)ELV002196662 (ELSEVIER)S0167-6687(10)00122-8 DE-627 ger DE-627 rda eng 31.99 bkl 83.03 bkl 83.70 bkl Eichner, Thomas verfasserin aut Portfolio selection and duality under mean variance preferences 2010 nicht spezifiziert zzz rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier This paper uses duality to analyze an investor’s behavior in a n -asset portfolio selection problem when the investor has mean variance preferences. The indirect utility and wealth requirement functions are used to derive Roy’s identity, Shephard’s lemma and the Slutsky equation. In our simple Slutsky equation the income effect is characterized by decreasing absolute risk aversion (DARA) and the substitution effect is always positive [negative] with respect to an asset’s holding if the asset’s mean return [risk] increases. Substitution effect and income effect work in the same direction presupposed mean variance preferences display DARA. 1.1\x Versicherungsökonomik (DE-2867)18741-3 stw 1.2\x Versicherungsmathematik (DE-2867)13823-5 stw Mean Variance Slutsky equation Substitution effect Enthalten in Insurance Amsterdam : North Holland Publ. Co., 1982 48, Seite 146-152 Online-Ressource (DE-627)319290484 (DE-600)2010248-3 (DE-576)093890818 nnns volume:48 pages:146-152 GBV_USEFLAG_U SYSFLAG_U GBV_ELV SSG-OPC-MAT GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_26 GBV_ILN_31 GBV_ILN_32 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_105 GBV_ILN_110 GBV_ILN_120 GBV_ILN_150 GBV_ILN_151 GBV_ILN_187 GBV_ILN_224 GBV_ILN_370 GBV_ILN_602 GBV_ILN_702 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2009 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2027 GBV_ILN_2034 GBV_ILN_2038 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2056 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2118 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2190 GBV_ILN_2336 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_4012 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4326 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4393 31.99 Mathematik: Sonstiges 83.03 Methoden und Techniken der Volkswirtschaft 83.70 Banken Versicherungen SEC-16000 SKW AR 48 146-152
allfields_unstemmed	10.1016/j.insmatheco.2010.10.008 doi (DE-627)ELV002196662 (ELSEVIER)S0167-6687(10)00122-8 DE-627 ger DE-627 rda eng 31.99 bkl 83.03 bkl 83.70 bkl Eichner, Thomas verfasserin aut Portfolio selection and duality under mean variance preferences 2010 nicht spezifiziert zzz rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier This paper uses duality to analyze an investor’s behavior in a n -asset portfolio selection problem when the investor has mean variance preferences. The indirect utility and wealth requirement functions are used to derive Roy’s identity, Shephard’s lemma and the Slutsky equation. In our simple Slutsky equation the income effect is characterized by decreasing absolute risk aversion (DARA) and the substitution effect is always positive [negative] with respect to an asset’s holding if the asset’s mean return [risk] increases. Substitution effect and income effect work in the same direction presupposed mean variance preferences display DARA. 1.1\x Versicherungsökonomik (DE-2867)18741-3 stw 1.2\x Versicherungsmathematik (DE-2867)13823-5 stw Mean Variance Slutsky equation Substitution effect Enthalten in Insurance Amsterdam : North Holland Publ. Co., 1982 48, Seite 146-152 Online-Ressource (DE-627)319290484 (DE-600)2010248-3 (DE-576)093890818 nnns volume:48 pages:146-152 GBV_USEFLAG_U SYSFLAG_U GBV_ELV SSG-OPC-MAT GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_26 GBV_ILN_31 GBV_ILN_32 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_105 GBV_ILN_110 GBV_ILN_120 GBV_ILN_150 GBV_ILN_151 GBV_ILN_187 GBV_ILN_224 GBV_ILN_370 GBV_ILN_602 GBV_ILN_702 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2009 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2027 GBV_ILN_2034 GBV_ILN_2038 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2056 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2118 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2190 GBV_ILN_2336 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_4012 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4326 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4393 31.99 Mathematik: Sonstiges 83.03 Methoden und Techniken der Volkswirtschaft 83.70 Banken Versicherungen SEC-16000 SKW AR 48 146-152
allfieldsGer	10.1016/j.insmatheco.2010.10.008 doi (DE-627)ELV002196662 (ELSEVIER)S0167-6687(10)00122-8 DE-627 ger DE-627 rda eng 31.99 bkl 83.03 bkl 83.70 bkl Eichner, Thomas verfasserin aut Portfolio selection and duality under mean variance preferences 2010 nicht spezifiziert zzz rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier This paper uses duality to analyze an investor’s behavior in a n -asset portfolio selection problem when the investor has mean variance preferences. The indirect utility and wealth requirement functions are used to derive Roy’s identity, Shephard’s lemma and the Slutsky equation. In our simple Slutsky equation the income effect is characterized by decreasing absolute risk aversion (DARA) and the substitution effect is always positive [negative] with respect to an asset’s holding if the asset’s mean return [risk] increases. Substitution effect and income effect work in the same direction presupposed mean variance preferences display DARA. 1.1\x Versicherungsökonomik (DE-2867)18741-3 stw 1.2\x Versicherungsmathematik (DE-2867)13823-5 stw Mean Variance Slutsky equation Substitution effect Enthalten in Insurance Amsterdam : North Holland Publ. Co., 1982 48, Seite 146-152 Online-Ressource (DE-627)319290484 (DE-600)2010248-3 (DE-576)093890818 nnns volume:48 pages:146-152 GBV_USEFLAG_U SYSFLAG_U GBV_ELV SSG-OPC-MAT GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_26 GBV_ILN_31 GBV_ILN_32 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_105 GBV_ILN_110 GBV_ILN_120 GBV_ILN_150 GBV_ILN_151 GBV_ILN_187 GBV_ILN_224 GBV_ILN_370 GBV_ILN_602 GBV_ILN_702 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2009 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2027 GBV_ILN_2034 GBV_ILN_2038 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2056 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2118 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2190 GBV_ILN_2336 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_4012 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4326 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4393 31.99 Mathematik: Sonstiges 83.03 Methoden und Techniken der Volkswirtschaft 83.70 Banken Versicherungen SEC-16000 SKW AR 48 146-152
allfieldsSound	10.1016/j.insmatheco.2010.10.008 doi (DE-627)ELV002196662 (ELSEVIER)S0167-6687(10)00122-8 DE-627 ger DE-627 rda eng 31.99 bkl 83.03 bkl 83.70 bkl Eichner, Thomas verfasserin aut Portfolio selection and duality under mean variance preferences 2010 nicht spezifiziert zzz rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier This paper uses duality to analyze an investor’s behavior in a n -asset portfolio selection problem when the investor has mean variance preferences. The indirect utility and wealth requirement functions are used to derive Roy’s identity, Shephard’s lemma and the Slutsky equation. In our simple Slutsky equation the income effect is characterized by decreasing absolute risk aversion (DARA) and the substitution effect is always positive [negative] with respect to an asset’s holding if the asset’s mean return [risk] increases. Substitution effect and income effect work in the same direction presupposed mean variance preferences display DARA. 1.1\x Versicherungsökonomik (DE-2867)18741-3 stw 1.2\x Versicherungsmathematik (DE-2867)13823-5 stw Mean Variance Slutsky equation Substitution effect Enthalten in Insurance Amsterdam : North Holland Publ. Co., 1982 48, Seite 146-152 Online-Ressource (DE-627)319290484 (DE-600)2010248-3 (DE-576)093890818 nnns volume:48 pages:146-152 GBV_USEFLAG_U SYSFLAG_U GBV_ELV SSG-OPC-MAT GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_26 GBV_ILN_31 GBV_ILN_32 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_105 GBV_ILN_110 GBV_ILN_120 GBV_ILN_150 GBV_ILN_151 GBV_ILN_187 GBV_ILN_224 GBV_ILN_370 GBV_ILN_602 GBV_ILN_702 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2009 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2027 GBV_ILN_2034 GBV_ILN_2038 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2056 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2118 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2190 GBV_ILN_2336 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_4012 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4326 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4393 31.99 Mathematik: Sonstiges 83.03 Methoden und Techniken der Volkswirtschaft 83.70 Banken Versicherungen SEC-16000 SKW AR 48 146-152
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author	Eichner, Thomas
spellingShingle	Eichner, Thomas bkl 31.99 bkl 83.03 bkl 83.70 stw Versicherungsökonomik stw Versicherungsmathematik misc Mean misc Variance misc Slutsky equation misc Substitution effect Portfolio selection and duality under mean variance preferences
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topic_title	31.99 bkl 83.03 bkl 83.70 bkl Portfolio selection and duality under mean variance preferences 1.1\x Versicherungsökonomik (DE-2867)18741-3 stw 1.2\x Versicherungsmathematik (DE-2867)13823-5 stw Mean Variance Slutsky equation Substitution effect
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title	Portfolio selection and duality under mean variance preferences
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title_full	Portfolio selection and duality under mean variance preferences
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title_sort	portfolio selection and duality under mean variance preferences
title_auth	Portfolio selection and duality under mean variance preferences
abstract	This paper uses duality to analyze an investor’s behavior in a n -asset portfolio selection problem when the investor has mean variance preferences. The indirect utility and wealth requirement functions are used to derive Roy’s identity, Shephard’s lemma and the Slutsky equation. In our simple Slutsky equation the income effect is characterized by decreasing absolute risk aversion (DARA) and the substitution effect is always positive [negative] with respect to an asset’s holding if the asset’s mean return [risk] increases. Substitution effect and income effect work in the same direction presupposed mean variance preferences display DARA.
abstractGer	This paper uses duality to analyze an investor’s behavior in a n -asset portfolio selection problem when the investor has mean variance preferences. The indirect utility and wealth requirement functions are used to derive Roy’s identity, Shephard’s lemma and the Slutsky equation. In our simple Slutsky equation the income effect is characterized by decreasing absolute risk aversion (DARA) and the substitution effect is always positive [negative] with respect to an asset’s holding if the asset’s mean return [risk] increases. Substitution effect and income effect work in the same direction presupposed mean variance preferences display DARA.
abstract_unstemmed	This paper uses duality to analyze an investor’s behavior in a n -asset portfolio selection problem when the investor has mean variance preferences. The indirect utility and wealth requirement functions are used to derive Roy’s identity, Shephard’s lemma and the Slutsky equation. In our simple Slutsky equation the income effect is characterized by decreasing absolute risk aversion (DARA) and the substitution effect is always positive [negative] with respect to an asset’s holding if the asset’s mean return [risk] increases. Substitution effect and income effect work in the same direction presupposed mean variance preferences display DARA.
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title_short	Portfolio selection and duality under mean variance preferences
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