Distributional Analysis of Portfolio Choice
AbstractTrading in a market is compared with receiving some particular consu mption bundle, given increasing state-independent preferences and complete markets. The analysis focuses on the distribution price of t he particular bundle. The distributional price is the price of the ch eapest utility-equivalent bundle sold in the market. The distribution al price is determined by the distribution functions of the outside b undle and the state price density. Simple portfolio performance measu res illustrate the value of the approach. Unlike CAPM-based measures, these measures are valid even when superior information is the sourc e of superior performance. Copyright 1988 by the University of Chicago.
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Bibliographic InfoArticle provided by University of Chicago Press in its journal Journal of Business.
Volume (Year): 61 (1988)
Issue (Month): 3 (July)
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Web page: http://www.journals.uchicago.edu/JB/
Other versions of this item:
- Philip H. Dybvig, 1987. "Distributional Analysis of Portfolio Choice," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 827R, Cowles Foundation for Research in Economics, Yale University, revised Jan 1988.
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