A market utility approach to investment valuation
- 28 April 1994
- journal article
- Published by Elsevier in European Journal of Operational Research
- Vol. 74 (2) , 294-309
- https://doi.org/10.1016/0377-2217(94)90098-1
Abstract
No abstract availableKeywords
This publication has 15 references indexed in Scilit:
- Inefficient Dynamic Portfolio Strategies or How to Throw Away a Million Dollars in the Stock MarketThe Review of Financial Studies, 1988
- Testing asset pricing models with changing expectations and an unobservable market portfolioJournal of Financial Economics, 1985
- A Simple Econometric Approach for Utility-Based Asset Pricing ModelsThe Journal of Finance, 1985
- Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset ReturnsJournal of Political Economy, 1983
- Mean-Variance Theory in Complete MarketsThe Journal of Business, 1982
- Intertemporal Asset Pricing with Heterogeneous Consumers and Without Demand AggregationThe Journal of Business, 1982
- Market Equilibrium in a Multiperiod State Preference Model with Logarithmic UtilityThe Journal of Finance, 1975
- The Pricing of Options and Corporate LiabilitiesJournal of Political Economy, 1973
- Optimal Investment and Consumption Strategies Under Risk for a Class of Utility FunctionsEconometrica, 1970
- The structure of investor preferences and asset returns, and separability in portfolio allocation: A contribution to the pure theory of mutual fundsJournal of Economic Theory, 1970