Asset Demand: A Simple Dual Approach

Elie Appelbaum

MPRA Paper from University Library of Munich, Germany

Abstract: This paper provides a simple framework for obtaining asset demand using indirect utility functions. Assuming expected utility maximization, we show that assets are held according to their mean returns' proportional marginal utility. We also show that an asset's equilibrium equity premium is given by the ratio of the indirect utility function's mean and standard deviation elasticities. Furthermore, we show that we can extend these results to a non-expected utility framework.

Keywords: Moments; Indirect Utility Function; Asset Demand; Duality. (search for similar items in EconPapers)
JEL-codes: D14 D80 D81 G11 (search for similar items in EconPapers)
Date: 2021-11
New Economics Papers: this item is included in nep-dem and nep-upt
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:113085

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