The Arbitrage Pricing Theorem with Non-expected Utility Preferences
AbstractThe arbitrage pricing theorem of finance shows that in certain circumstances the price of a financial asset may be written as a linear combination of the prices of certain market factors. This result is usually proved with von Neumann-Morgenstern preferences. In this paper we show that the result is robust in the sense that it will remain true if certain kinds of non expected utility preferences are used. We consider Machina preferences, the rank dependent model and non-additive subjective probabilities.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Economic Theory.
Volume (Year): 65 (1995)
Issue (Month): 2 (April)
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Web page: http://www.elsevier.com/locate/inca/622869
Other versions of this item:
- Kelsey, D. & Milne, F., 1990. "The Arbitrage Pricing Theorem with non Expected Utility Preferences," Papers 217, Australian National University - Department of Economics.
- David Kelsey & Frank Milne, 1992. "The arbitrage Pricing Theorem with Non Expected Utility Preferences," Working Papers 866, Queen's University, Department of Economics.
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