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Portfolio, Insurance and Saving Decisions

In: Financial Markets Theory

Author

Listed:
  • Emilio Barucci

    (Politecnico di Milano)

  • Claudio Fontana

    (Université Paris Diderot (Paris 7))

Abstract

In this chapter, in the context of a simple two-period economy, we study the optimal portfolio problem of a risk averse agent, first in the case of a single risky asset and then in the more general case of multiple risky assets. We present several comparative statics results as well as closed-form solutions. We then derive the mean-variance portfolio frontier and present its most important properties, also including a risk free asset. The chapter closes by considering optimal insurance problems and optimal consumption-saving problems in a two-period economy.

Suggested Citation

  • Emilio Barucci & Claudio Fontana, 2017. "Portfolio, Insurance and Saving Decisions," Springer Finance, in: Financial Markets Theory, edition 2, chapter 0, pages 55-121, Springer.
    • Handle: RePEc:spr:sprfcp:978-1-4471-7322-9_3
    DOI: 10.1007/978-1-4471-7322-9_3
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