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).


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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
Digital Object Identifier (DOI): doi:10.1006/reec.2000.0258
ISSNs: 1090-9443 (print)
Keywords: mean-variance analysis, temporary equilibrium
ePrint ID: 32906
Date :
Date Event
Date Deposited: 15 May 2006
Last Modified: 16 Apr 2017 22:18
Further Information:Google Scholar

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