PRESENT VALUE BASED PORTFOLIO CHOICE

Authors
FRIIS SH SPECKBACHER G
Citation
Sh. Friis et G. Speckbacher, PRESENT VALUE BASED PORTFOLIO CHOICE, Economics letters, 44(3), 1994, pp. 261-265
Citations number
7
Categorie Soggetti
Economics
Journal title
Economics letters → ACNP
ISSN journal
01651765
Volume
44
Issue
3
Year of publication
1994
Pages
261 - 265
Database
ISI
SICI code
0165-1765(1994)44:3<261:PVBPC>2.0.ZU;2-7
Abstract
We formalize a modified present value rule for portfolio decisions und er uncertainty based on a state-dependent valuation with opportunity c osts. This decision rule is shown to select a unique portfolio which a lso maximizes the expected logarithmic utility of payoffs.