Optimal Risk Allocation Research Articles

Modern Portfolio Theory: Some Main Results

AbstractThis article summarizes some main results in modern portfolio theory. First, the Markowitz approach is presented. Then the capital asset pricing model is derived and its empirical testability is discussed. Afterwards Neumann–Morgenstern utility theory is applied to the portfolio problem. Finally, it is shown how optimal risk allocation in an economy may lead to portfolio insurance.

Modern Portfolio Theory: Some Main Results

AbstractThis article summarizes some main results in modern portfolio theory. First, the Markowitz approach is presented. Then the capital asset pricing model is derived and its empirical testability is discussed. Afterwards Neumann–Morgenstern utility theory is applied to the portfolio problem. Finally, it is shown how optimal risk allocation in an economy may lead to portfolio insurance.

Non-Convexity and the Optimal Allocation of Risk in an Exchange Economy

Non-Convexity and the Optimal Allocation of Risk in an Exchange Economy

On Convexity, Efficiency, and Markets: A Reply

Previous articleNext article No AccessOn Convexity, Efficiency, and Markets: A ReplyM. J. FarrellM. J. Farrell Search for more articles by this author PDFPDF PLUS Add to favoritesDownload CitationTrack CitationsPermissionsReprints Share onFacebookTwitterLinkedInRedditEmail SectionsMoreDetailsFiguresReferencesCited by Journal of Political Economy Volume 69, Number 5Oct., 1961 Article DOIhttps://doi.org/10.1086/258541 Views: 2Total views on this site Citations: 3Citations are reported from Crossref Copyright 1961 The University of ChicagoPDF download Crossref reports the following articles citing this article:Isabella M Weber On the necessity of money in an exchange-constituted economy: the cases of Smith and Marx, Cambridge Journal of Economics 16 (Aug 2019).https://doi.org/10.1093/cje/bez038Dennis F. Ellis Non-Convexity and the Optimal Allocation of Risk in an Exchange Economy, The American Economist 19, no.11 (Mar 1975): 10–18.https://doi.org/10.1177/056943457501900102 Martin Shubik The "Bridge Game" Economy: An Example of Indivisibilities, Journal of Political Economy 79, no.44 (Oct 2015): 909–912.https://doi.org/10.1086/259798

Non-Convexity, Aggregation, and Pareto Optimality

Previous articleNext article No AccessNon-Convexity, Aggregation, and Pareto OptimalityJerome RothenbergJerome Rothenberg Search for more articles by this author PDFPDF PLUS Add to favoritesDownload CitationTrack CitationsPermissionsReprints Share onFacebookTwitterLinkedInRedditEmail SectionsMoreDetailsFiguresReferencesCited by Journal of Political Economy Volume 68, Number 5Oct., 1960 Article DOIhttps://doi.org/10.1086/258363 Views: 11Total views on this site Citations: 13Citations are reported from Crossref Copyright 1961 The University of ChicagoPDF download Crossref reports the following articles citing this article:Chun-Ming Yang An improved multiple quality characteristic analysis chart for simultaneous monitoring of process mean and variance of steering knuckle pin for green manufacturing, Quality Engineering 33, no.33 (May 2021): 383–394.https://doi.org/10.1080/08982112.2021.1874012Isabella M Weber On the necessity of money in an exchange-constituted economy: the cases of Smith and Marx, Cambridge Journal of Economics 16 (Aug 2019).https://doi.org/10.1093/cje/bez038Ruixun Zhang, Thomas J. Brennan, Andrew W. Lo The origin of risk aversion, Proceedings of the National Academy of Sciences 111, no.5050 (Dec 2014): 17777–17782.https://doi.org/10.1073/pnas.1406755111Jose M. Maroto, Manuel Moran Lipschitz continuous dynamic programming with discount, Nonlinear Analysis: Theory, Methods & Applications 62, no.55 (Aug 2005): 877–894.https://doi.org/10.1016/j.na.2005.03.100Zhiping Xie A New Approach for General Equilibrium with Discontinuous Excess Demand Function, SSRN Electronic Journal (Jan 2005).https://doi.org/10.2139/ssrn.721362Jeremy Greenwood, Gregory W. Huffman A dynamic equilibrium model of inflation and unemployment, Journal of Monetary Economics 19, no.22 (Mar 1987): 203–228.https://doi.org/10.1016/0304-3932(87)90047-XGeorge R. Feiwel The Potentials and Limits of Economic Analysis: The Contributions of Kenneth J. Arrow, (Jan 1987): 1–187.https://doi.org/10.1007/978-1-349-07239-2_1Paul Burrows Nonconvexity induced by external costs on production: Theoretical curio or policy dilemma?, Journal of Environmental Economics and Management 13, no.22 (Jun 1986): 101–128.https://doi.org/10.1016/0095-0696(86)90031-8 Martin J. Bailey The Possibility of Rational Social Choice in an Economy, Journal of Political Economy 87, no.11 (Oct 2015): 37–56.https://doi.org/10.1086/260738BRYAN ELLICKSON Local Public Goods and the Market for Neighborhoods, (Jan 1979): 263–292.https://doi.org/10.1016/B978-0-12-636250-3.50018-0 BIBLIOGRAPHY, (Jan 1979): 201–218.https://doi.org/10.1016/B978-0-444-85127-7.50028-9Maurice Allais Theories of General Economic Equilibrium and Maximum Efficiency, (Jan 1977): 129–201.https://doi.org/10.1007/978-94-010-1155-6_10Dennis F. Ellis Non-Convexity and the Optimal Allocation of Risk in an Exchange Economy, The American Economist 19, no.11 (Mar 1975): 10–18.https://doi.org/10.1177/056943457501900102