In this paper, Lluch's Extended Linear Expenditure System (ELES) is generalized to accommodate the portfolio behavior of an individual when future asset returns are uncertain. Using Merton's continuous-time methodology for modeling individual behavior under uncertainty, a new system, called the Extended Linear Expenditure System with Assets, is derived. This system contains both a modified form of the ELES and a set of asset demand equations. The latter are quite simple expressions representing portfolio behavior in a way that is fully consistent with the Tobin/Markowitz model in a static single-period setting. Copyright 1991 by The Economic Society of Australia.
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Article provided by The Economic Society of Australia in its journal The Economic Record.
Volume (Year): 0 (1991) Issue (Month): 0 (Supplement) Pages: 109-17 Download reference. The following formats are available: HTML,
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