Portfolio, Insurance and Saving Decisions

Emilio Barucci and Claudio Fontana
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Emilio Barucci: Politecnico di Milano
Claudio Fontana: Université Paris Diderot (Paris 7)

Chapter Chapter 3 in Financial Markets Theory, 2017, pp 55-121 from Springer

Abstract: Abstract In this chapter, in the context of a simple two-period economy, we study the optimal portfolio problem of a risk averse agent, first in the case of a single risky asset and then in the more general case of multiple risky assets. We present several comparative statics results as well as closed-form solutions. We then derive the mean-variance portfolio frontier and present its most important properties, also including a risk free asset. The chapter closes by considering optimal insurance problems and optimal consumption-saving problems in a two-period economy.

Keywords: Mutual Fund; Optimal Portfolio; Risky Asset; Sharpe Ratio; Initial Wealth (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-1-4471-7322-9_3

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DOI: 10.1007/978-1-4471-7322-9_3

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