IDEAS home Printed from https://ideas.repec.org/p/xrs/sfbmaa/97-32.html

Risk-Value Efficient Portfolios and Asset Pricing

Author

Listed:
  • Franke, Guenther

    (Universität Konstanz)

  • Weber, Martin

    (Lehrstuhl für ABWL, Finanzwirtschaft, insb. Bankbetriebslehre)

Abstract

Portfolio choice is usually modelled by von Neumann-Morgenstern utility. Risk-value models are more general and permit the derivation of risk-value efficient frontiers. A behaviourally based risk measure with an endogenous or exogenous benchmark is used to derive effcient portfolios and to analyse the implied equilibrium asset pricing. In risk-value models a richer set of sharing rules is obtained than in a von Neumann-Morgenstern world. Linear sharing rules are obtained only for quadratic risk functions. If the risk function is modelled by a negative HARA-function, then sharing rules are convex or concave relative to each other. Hence, agents buy and sell portfolio insurance motivating trade in options. Asset pricing, however, is similar to that in a von Neumann-Morgenstern world.

Suggested Citation

  • Franke, Guenther & Weber, Martin, 1997. "Risk-Value Efficient Portfolios and Asset Pricing," Sonderforschungsbereich 504 Publications 97-32, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
    • Handle: RePEc:xrs:sfbmaa:97-32
    Note: We like to thank Yakov Amihud, New York, Thomas Langer, Mannheim, James Smith, Duke University, Meir Stratman, Santa Barbara, and the members of the Finance seminar at Vienna University and Tel Aviv University for many helpful suggestions which have led to considerable improvement of the paper. Financial support from the Deutsche Forschungsgemeinschaft, SFB 504, at the University of Mannheim, is gratefully acknowledged.
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a
    for a similarly titled item that would be available.

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Unser, Matthias, 2000. "Lower partial moments as measures of perceived risk: An experimental study," Journal of Economic Psychology, Elsevier, vol. 21(3), pages 253-280, June.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:xrs:sfbmaa:97-32. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Carsten Schmidt The email address of this maintainer does not seem to be valid anymore. Please ask Carsten Schmidt to update the entry or send us the correct address (email available below). General contact details of provider: https://edirc.repec.org/data/sfmande.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.