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Necessary and sufficient conditions for existence of an optimal portfolio

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  • Bertsekas, Dimitri P.
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    Article provided by Elsevier in its journal Journal of Economic Theory.

    Volume (Year): 8 (1974)
    Issue (Month): 2 (June)
    Pages: 235-247

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    Handle: RePEc:eee:jetheo:v:8:y:1974:i:2:p:235-247

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    Web page: http://www.elsevier.com/locate/inca/622869

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    Cited by:
    1. Dana, R.A. & Le Van, C., 2010. "Overlapping risk adjusted sets of priors and the existence of efficient allocations and equilibria with short-selling," Journal of Economic Theory, Elsevier, vol. 145(6), pages 2186-2202, November.
    2. Dana, Rose-Anne & Le Van, Cuong & Magnien, François, 1996. "On the different notions of arbitrage and existence of equilibrium," CEPREMAP Working Papers (Couverture Orange) 9616, CEPREMAP.
    3. Bentley W. MacLeod, 2003. "Optimal Contracting with Subjective Evaluation," American Economic Review, American Economic Association, vol. 93(1), pages 216-240, March.
    4. Merton, Robert C., 1986. "Capital market theory and the pricing of financial securities," Working papers 1818-86., Massachusetts Institute of Technology (MIT), Sloan School of Management.
    5. Fabian Herweg & Daniel Müller & Philipp Weinschenk, 2008. "The Optimality of Simple Contracts: Moral Hazard and Loss Aversion," Bonn Econ Discussion Papers bgse17_2008, University of Bonn, Germany.
    6. Hildreth, Clifford & Kislev, Yoav, 1980. "A Model Of Yield Variability And Price Effect," Staff Papers 13755, University of Minnesota, Department of Applied Economics.
    7. Bartling, Björn & Siemens, Ferdinand von, 2006. "The Intensity of Incentives in Firms and Markets: Moral Hazard with Envious Agents," Discussion Papers in Economics 913, University of Munich, Department of Economics.
    8. Steven A. Matthews, 1991. "Renegotiation of Sales Contracts under Moral Hazard," Discussion Papers 950, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    9. Page, Frank Jr., 1996. "Arbitrage and asset prices," Mathematical Social Sciences, Elsevier, vol. 31(3), pages 183-208, June.
    10. John Quiggin, 2001. "Production under Uncertainty and Choice under Uncertainty in the Emergence of Generalized Expected Utility Theory," Theory and Decision, Springer, vol. 51(2), pages 125-144, December.

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