The classification of parametric choices under uncertainty: analysis of the portfolio choice problem

Sergio Ortobelli Lozza ()

Theory and Decision, 2001, vol. 51, issue 2, 297-328

Abstract: This paper describes the admissible classes of parametric distribution functions of return portfolios and analyzes their consistency with the maximization of the expected utility. In particular, we present a general theory and a unifying framework with the following aims: (1) studying the implications of the classical market restrictions on the portfolio distributions; (2) establishing general rules of ordering, when the uncertain prospect depends by a finite number of parameters; (3) understanding how a dispersion measure has to be used, in order to obtain the investors' optimal portfolios. Copyright Kluwer Academic Publishers 2001

Keywords: Dispersion measures; Market restrictions; Parameterized returns; Portfolio theory (search for similar items in EconPapers)
Date: 2001
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://hdl.handle.net/10.1023/A:1015511211848 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:kap:theord:v:51:y:2001:i:2:p:297-328

Ordering information: This journal article can be ordered from
http://www.springer. ... ry/journal/11238/PS2

DOI: 10.1023/A:1015511211848

Access Statistics for this article

Theory and Decision is currently edited by Mohammed Abdellaoui

More articles in Theory and Decision from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().