Mean-variance analysis in temporary equilibrium


Raugh, Michael T. and Seccia, Giulio (2001) Mean-variance analysis in temporary equilibrium. Research in Economics, 55, (3), 331-345. (doi:10.1006/reec.2000.0258).

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Original Publication URL: http://dx.doi.org/10.1006/reec.2000.0258

Description/Abstract

In this paper we take the first few steps towards a new theory of portfolio choice in the spirit of conventional mean-variance analysis but without strong assumptions on preferences or the distributions for returns. In this model agents form beliefs about returns based on conjectures about finitely many moments. In temporary equilibrium all current markets clear and conjectures about moments are correct. We prove the existence of a steady-state sequence of temporary equilibria and identify conditions on the structure of beliefs that ensure that the steady-state temporary equilibrium beliefs are in some sense accurate and closely approximate rational expectations.

Item Type: Article
ISSNs: 1090-9443 (print)
Related URLs:
Keywords: mean-variance analysis, temporary equilibrium
Subjects: H Social Sciences > HB Economic Theory
Divisions: University Structure - Pre August 2011 > School of Social Sciences > Economics
ePrint ID: 32906
Date Deposited: 15 May 2006
Last Modified: 27 Mar 2014 18:20
URI: http://eprints.soton.ac.uk/id/eprint/32906

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