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Mean-variance analysis in temporary equilibrium

Rauh, M.T.; Seccia, G.; (2001) Mean-variance analysis in temporary equilibrium. Research in Economics , 55 (3) pp. 331-345. 10.1006/reec.2000.0258.

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Abstract

In this paper we take the first few steps towards a new theory of portfolio choice in the spirit of conventional mean-variance analysis but without strong assumptions on preferences or the distributions for returns. In this model agents form beliefs about returns based on conjectures about finitely many moments. In temporary equilibrium all current markets clear and conjectures about moments are correct. We prove the existence of a steady-state sequence of temporary equilibria and identify conditions on the structure of beliefs that ensure that the steady-state temporary equilibrium beliefs are in some sense accurate and closely approximate rational expectations.

Type: Article
Title: Mean-variance analysis in temporary equilibrium
DOI: 10.1006/reec.2000.0258
Publisher version: http://dx.doi.org/10.1006/reec.2000.0258
Language: English
Keywords: Mean-variance analysis, temporary equilibrium
UCL classification: UCL > Provost and Vice Provost Offices > UCL SLASH > Faculty of SandHS > Dept of Economics
URI: http://discovery.ucl.ac.uk/id/eprint/18113
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