Journal of Financial and Quantitative Analysis Vol. 8 No. 1 1973
The Fundamental Theorem of Parameter-Preference Security Valuation
Abstract
Under the assumption that individuals are single-period maximizers of the expected utility of their future wealth, this essay extends the mean-variance security valuation model developed by Sharpe [10], Lintner [4, 5, and 6], and Mossin [7 and 8] to a general parameter-preference model, with and without the simplifications of homogeneous subjective probabilities and the existence of a risk-free security. Results with quadratic and cubic utility are developed as special cases.
- DOI
- 10.2307/2329748
- Volume
- 8
- Issue
- 1
- Pages
- 61
- Sources
- openalex crossref