Electronic Resource
Oxford, UK
:
Blackwell Publishing Ltd
Journal of business finance & accounting
10 (1983), S. 0
ISSN:
1468-5957
Source:
Blackwell Publishing Journal Backfiles 1879-2005
Topics:
Economics
Notes:
Many investment decision models are formulated on the basis of certain assumptions regarding investor's tastes combined with the assumed objective of expected utility maximization. The rules are often expressed in the form of a finite number of moments of the returns distributions, depending on the specific utility function restrictions imposed. For example, mean/variance decisions have been derived using the assumption of a quadratic preference function. Borch (1969) and many others have demonstrated the ambiguity of mean/variance decision rules based on this specific utility functional form. In this note, Borch's findings are extended t o all investment decision rules based on the assumption of any finite order utility function for a general class of risk averters.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1111/j.1468-5957.1983.tb00458.x
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