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| Tekijä: | Rau-Bredow, H. |
| Otsikko: | Portefeuilletheorie bei nicht-klassischen Risikonutzenfunktionen |
| Lehti: | Schmalenbachs Zeitschrift für Betriebswirtschaftliche Forschung
1996 : VOL. 48:9, p. 803-815 |
| Asiasana: | PORTFOLIO MANAGEMENT PORTFOLIO SELECTION RISK MEASUREMENT THEORIES |
| Kieli: | ger |
| Tiivistelmä: | Research in portfolio theory is usually done in the mean/variance framework. A more general approach to decision making under risk has been provided by Machina (1982) whereby a not very restrictive differentiability assumption makes it possible to assign a so called "lokal" utility function to almost every decision rule, including the mean/variance principle. This paper gives a corresponding generalization of standard portfolio theory which includes state-preference-theory, the results of the classical CAPM and the model of Weber (1990) as special cases. |
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