Hostname: page-component-78c5997874-mlc7c Total loading time: 0 Render date: 2024-11-15T08:47:04.407Z Has data issue: false hasContentIssue false
  • English
  • Français

Utility Analysis of Chance-Constrained Portfolio Selection

Published online by Cambridge University Press:  19 October 2009

Enrique R. Arzac
Get access Rights & Permissions [Opens in a new window]

Extract

Single-period portfolio selection deals with the allocation of an investor's initial wealth to a finite number of risky assets according to his preferences over random final wealth. The purpose of this paper is to study chance-constrained portfolio selection from the point of view of utility theory.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 9 , Issue 6 , December 1974 , pp. 993 - 1007
Copyright
Copyright © School of Business Administration, University of Washington 1974

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

[1]Agnew, N.H.; Agnew, R.A.; Rasmussen, J.; and Smith, K.R.. “An Application of Chance-Constrained Programming to Portfolio Selection in a Casuality Insurance Firm.” Management Science, vol. 15, no. 10 (1969), pp. 512–520.CrossRefGoogle Scholar
[2]Arrow, K.J.Essays in the Theory of Pisk-Bearing. Chicago: Markham, 1971.Google Scholar
[3]Arzac, E.R. “On Safety and Expected Return in Portfolio Analysis.” Unpublished manuscript, Graduate School of Business, Columbia University.Google Scholar
[4]Bernoulli, D. “Exposition of a New Theory on the Measurement of Risk.” Econometrica, vol. 12, no. 1 (1954), pp. 23–36.CrossRefGoogle Scholar
[5]Borch, K.H.The Economics of Uncertainty. Princeton: Princeton University Press, 1968.Google Scholar
[6]Chipman, J.S. “Non-Archimedian Behavior under Risk.” In Preferences, Utility and Demand, edited by Chipman, J.S., Hurwicz, L., Richter, M.R., and Sonnenschein, H.S.. New York: Harcourt Brace Jovanovich, 1971, pp. 289–318.Google Scholar
[7]Cramer, H.Mathematical Methods of Statistics. Princeton: Princeton University Press, 1946.Google Scholar
[8]Everett, H. “Generalized Lagrange Multipliers Method for Solving Problems of Optimum Allocation of Resources.” Operations Research, vol. 11, no. 2 (1963), pp. 399–417.CrossRefGoogle Scholar
[19]Fama, E.F. “The Behavior of Stock Prices.” Journal of Business, vol. 38, no. 1 (1965), pp. 34–105.CrossRefGoogle Scholar
[10]Grayson, C.J.Decisions under Uncertainty. Cambridge, Mass.: Graduate School of Administration, Harvard University, 1960.Google Scholar
[11]Hadar, J., and Russell, W.. “Rules for Ordering Uncertain Prospects.” The American Economic Review, vol. 59, no. 1 (1969), pp. 335–346.Google Scholar
[12]Hanoch, G., and Levy, H.. “The Efficiency Analysis of Choices Involving Risk.” The Review of Economic Studies, vol. 36, no. 107 (1969), pp. 335–346.CrossRefGoogle Scholar
[13]Kunreuther, H. “Risk-Taking and Farmer's Crop Growing Decisions.” Unpublished manuscript, Graduate School of Business, University of Chicago, 1971.Google Scholar
[14]Mandelbrot, B. “The Variation of Certain Speculative Prices.” Journal of Business, vol. 36, no. 4 (1963), pp. 394–419.CrossRefGoogle Scholar
[15]Markowitz, H.M.Portfolio Selection. New York: Wiley and Sons, 1959.Google Scholar
[16]Masse, P., and Morlat, G.. “Sur le Classement Economique des Perspectives Aleatoires.” In Econometrie, edited by Centre National de la Recherche Scientifique. Paris, 1953, pp. 165–199.Google Scholar
[17]Naslund, B., and Whinston, A.. “A Model of Multi-Period Investment under Uncertainty.” Management Science, vol. 8, no. 2 (1962), pp. 184–200.CrossRefGoogle Scholar
[18]Naslund, B., and Whinston, A.. “Models of Decision Making under Risk.” Metroeconomica, vol. 16 (1964), pp. 81–94.CrossRefGoogle Scholar
[19]Pratt, J.W. “Risk Aversion in the Small and in the Large.” Econometrica, vol. 32, no. 1–2. (1964), pp. 122–136.CrossRefGoogle Scholar
[20]Pyle, D.H., and Turnovsky, S.J.. “Safety-First and Expected Utility Maximization in Mean-Standard Deviation Portfolio Selection.” Review of Economics and Statistics, vol. 52, no. 1 (1970), pp. 75–81.CrossRefGoogle Scholar
[21]Pyle, D.H.. “Risk Aversion in Chance-Constrained Portfolio Selection.” Management Science, vol. 18, no. 3 (1971), pp. 218–225.CrossRefGoogle Scholar
[22]Quirk, J.P., and Saposnik, R.. “Admissibility and Measurable Utility Functions.” The Review of Economic Studies, vol. 29, no. 79 (1962), pp. 140–146.CrossRefGoogle Scholar
[23]Roy, A.D. “Safety-First and the Holding of Assets.” Econometrica, vol. 20, no. 3 (1952), pp. 431–449.CrossRefGoogle Scholar
[24]Samuelson, P.A. “General Proof that Diversification Pays.” Journal of Financial and Quantitative Analysis, vol. 2, no. 1 (1967), pp. 1–13.CrossRefGoogle Scholar
[25]Siegel, S. “Level of Aspiration and Decision Making.” Psychological Review, vol. 64, no. 4 (1957), pp. 253–262.CrossRefGoogle ScholarPubMed
[26]Tobin, J. “Liquidity Preference as Behavior toward Risk.” Review of Economic Studies, vol. 25, no. 2 (1958), pp. 65–86.CrossRefGoogle Scholar