Abstract–A Parametric Study of a Household Portfolio Selection Model

Rae Jean B. Goodman

Journal of Financial and Quantitative Analysis, 1975, vol. 10, issue 4, 557-557

Abstract: We develop a household portfolio selection model that (1) generalizes some aspects of the conventional theory of the portfolio selection process; (2) integrates the investment and financing decisions, and (3) reflects the liability structure of the household. We incorporate the above influences by placing restrictions on the portfolio maximand in the form of probabilistic and deterministic constraints. The maximand is a tradeoff between the expected net value and the volatility of the portfolio as measured by Sharpe's beta coefficient. The maximization of the objective function is restricted by (1) the Cash Flow, (2) the Credit Limit, (3) the Adding-Up, and (4) the Non-Negativity constraints.

Date: 1975
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