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The Fundamental Theorem of Parameter-Preference Security Valuation

Published online by Cambridge University Press:  19 October 2009

Mark E. Rubinstein
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Extract

Under the assumption that individuals are single-period maximizers of the expected utility of their future wealth, this essay extends the mean-variance security valuation model developed by Sharpe [10], Lintner [4, 5, and 6], and Mossin [7 and 8] to a general parameter-preference model, with and without the simplifications of homogeneous subjective probabilities and the existence of a risk-free security. Results with quadratic and cubic utility are developed as special cases.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 8 , Issue 1 , January 1973 , pp. 61 - 69
Copyright
Copyright © School of Business Administration, University of Washington 1973

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References

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