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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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 |
| Item ID: | 32906 |
| Date Deposited: | 15 May 2006 |
| Last Modified: | 02 Mar 2012 11:27 |
| Contributors: | Raugh, Michael T. (Author) Seccia, Giulio (Author) |
| Date: | 2001 |
| Status: | Published |
| Contact Email Address: | gs4@soton.ac.uk |
| URI: | http://eprints.soton.ac.uk/id/eprint/32906 |
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