The University of Southampton
University of Southampton Institutional Repository

Mean-variance analysis in temporary equilibrium

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

Record type: Article


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.

Full text not available from this repository.

More information

Published date: 2001
Keywords: mean-variance analysis, temporary equilibrium


Local EPrints ID: 32906
ISSN: 1090-9443
PURE UUID: 29b96829-8d77-458d-8e49-0563b0695535

Catalogue record

Date deposited: 15 May 2006
Last modified: 17 Jul 2017 15:54

Export record



Author: Michael T. Raugh
Author: Giulio Seccia

University divisions

Download statistics

Downloads from ePrints over the past year. Other digital versions may also be available to download e.g. from the publisher's website.

View more statistics

Atom RSS 1.0 RSS 2.0

Contact ePrints Soton:

ePrints Soton supports OAI 2.0 with a base URL of

This repository has been built using EPrints software, developed at the University of Southampton, but available to everyone to use.

We use cookies to ensure that we give you the best experience on our website. If you continue without changing your settings, we will assume that you are happy to receive cookies on the University of Southampton website.