Portfolio Decisions and Capital Market Equilibria Under Incomplete Information

  • Volker Firchau
Conference paper


In the scope of the hybrid model which is characterized by the assumptions of an exponential utility function and of normally distributed end-of-period values of the risky assets, the optimum portfolio decisions are determined in the case of incompletely known prior parameters. Risk and uncertainty approaches are examined. The problems of the determination of equilibrium prices are dealt with.


Prior Distribution Equilibrium Price Optimal Portfolio Risky Asset Certainty Equivalent 
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© Springer-Verlag Berlin Heidelberg New York Tokyo 1986

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  • Volker Firchau

There are no affiliations available

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