A THEORY OF PORTFOLIO ADJUSTMENTS UNDER UNCERTAINTY: A MEAN VARIANCE APPROACH

Lindon J. Robinson and Peter J. Barry

No 284103, 1975 Annual Meeting, August 10-13, Columbus, Ohio from American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association)

Abstract: This paper provides a general method for evaluating portfolio adjustments under uncertainty where portfolio choices are restricted to the Markowitz Tobin mean-variance (EV) efficient set. A theoretical model is constructed from which theorem~ and corollaries are deduced relating equilibrium adjustments to the investor's risk aversion coefficient. Furthermore we show that portfolio adjustments from an initial solution on an EV set can be conveniently separated into income and substitution effects.

Keywords: Risk; and; Uncertainty (search for similar items in EconPapers)
Pages: 16
Date: 1975-08
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Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea75:284103

DOI: 10.22004/ag.econ.284103

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