Arbeitspapier
The arbitrage Pricing Theorem with Non Expected Utility Preferences
The arbitrage pricing theorem of finance shows that in certain circumstances the price of a financial asset may be written as a linear combination of the prices of certain market factors. This result is usually proved with von Neumann-Morgenstern preferences. In this paper we show that the result is robust in the sense that it will remain true if certain kinds of non expected utility preferences are used. We consider Machina preferences, the rank dependent model and non-additive subjective probabilities.
- Sprache
-
Englisch
- Erschienen in
-
Series: Queen's Economics Department Working Paper ; No. 866
- Klassifikation
-
Wirtschaft
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Kelsey, David
Milne, Frank
- Ereignis
-
Veröffentlichung
- (wer)
-
Queen's University, Department of Economics
- (wo)
-
Kingston (Ontario)
- (wann)
-
1992
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Kelsey, David
- Milne, Frank
- Queen's University, Department of Economics
Entstanden
- 1992
Ähnliche Objekte (12)
Arbitrage pricing simplified
Arbitrage pricing theory
An Experimental Investigation of Alternatives to Expected Utility Using Pricing Data
An Experimental Investigation of Alternatives to Expected Utility Using Pricing Data
Approximate Expected Utility Rationalization
Expected multi-utility representations
Testing choquet expected utility
Approximate Expected Utility Rationalization
Risk and Expected Utility Theory
Optimal Incentives without Expected Utility
Subjective expected utility in games
Expected Utility and Catastrophic Risk
Arbitrage pricing simplified
Arbitrage pricing theory
An Experimental Investigation of Alternatives to Expected Utility Using Pricing Data
An Experimental Investigation of Alternatives to Expected Utility Using Pricing Data
Approximate Expected Utility Rationalization
Expected multi-utility representations
Testing choquet expected utility
Approximate Expected Utility Rationalization
Risk and Expected Utility Theory
Optimal Incentives without Expected Utility
Subjective expected utility in games
Expected Utility and Catastrophic Risk
Arbitrage pricing simplified
Arbitrage pricing theory
An Experimental Investigation of Alternatives to Expected Utility Using Pricing Data
An Experimental Investigation of Alternatives to Expected Utility Using Pricing Data
Approximate Expected Utility Rationalization
Expected multi-utility representations
Testing choquet expected utility
Approximate Expected Utility Rationalization
Risk and Expected Utility Theory
Optimal Incentives without Expected Utility
Subjective expected utility in games