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The arbitrage Pricing Theorem with Non Expected Utility Preferences

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  • Kelsey, David
  • Milne, Frank

Abstract

The 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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(This abstract was borrowed from another version of this item.)
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Kelsey, David & Milne, Frank, 1992. "The arbitrage Pricing Theorem with Non Expected Utility Preferences," Queen's Economics Department Working Papers 273259, Queen's University - Department of Economics.
    • Handle: RePEc:ags:quedwp:273259
    DOI: 10.22004/ag.econ.273259
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    Cited by:

    1. is not listed on IDEAS
    2. William A. Barnett & Kangzheng Ding, 2024. "Expected Utility Maximization Under Weakened Assumptions Consistent With Behavioral Economics," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202418, University of Kansas, Department of Economics.
    3. Naqvi, Nadeem, 2012. "Impossibility of interpersonal social identity diversification under binary preferences," MPRA Paper 41365, University Library of Munich, Germany.
    4. repec:awi:wpaper:0448 is not listed on IDEAS
    5. Kelsey, David & Yalcin, Erkan, 2007. "The arbitrage pricing theorem with incomplete preferences," Mathematical Social Sciences, Elsevier, vol. 54(1), pages 90-105, July.
    6. Erkan Yalcin, 2002. "Existence of Equilibrium in Incomplete Markets with Non-Ordered Preferences," GE, Growth, Math methods 0204002, University Library of Munich, Germany.
    7. Sujoy Mukerji & Jean-Marc Tallon, 2001. "Ambiguity Aversion and Incompleteness of Financial Markets," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 68(4), pages 883-904.
    8. Naqvi, Nadeem, 2012. "Why is the Workplace Racially Segregated by Occupation?," MPRA Paper 43352, University Library of Munich, Germany.
    9. Aldo Montesano, 2008. "Effects of Uncertainty Aversion on the Call Option Market," Theory and Decision, Springer, vol. 65(2), pages 97-123, September.
    10. Eichberger, Jürgen & Kelsey, David, 2007. "Ambiguity," Sonderforschungsbereich 504 Publications 07-50, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
      • Eichberger, Jürgen & Kelsey, David, 2007. "Ambiguity," Papers 07-50, Sonderforschungsbreich 504.

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