IDEAS home Printed from https://ideas.repec.org/p/fth/aunaec/217.html
   My bibliography  Save this paper

The Arbitrage Pricing Theorem with non Expected Utility Preferences

Author

Listed:
  • Kelsey, D.
  • Milne, F.

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

Suggested Citation

  • Kelsey, D. & Milne, F., 1990. "The Arbitrage Pricing Theorem with non Expected Utility Preferences," Papers 217, Australian National University - Department of Economics.
    • Handle: RePEc:fth:aunaec:217
    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 search 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. Erkan Yalcin, 2002. "Existence of Equilibrium in Incomplete Markets with Non-Ordered Preferences," GE, Growth, Math methods 0204002, University Library of Munich, Germany.
    2. 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.
    3. repec:awi:wpaper:0448 is not listed on IDEAS
    4. Aldo Montesano, 2008. "Effects of Uncertainty Aversion on the Call Option Market," Theory and Decision, Springer, vol. 65(2), pages 97-123, September.
    5. Naqvi, Nadeem, 2012. "Impossibility of interpersonal social identity diversification under binary preferences," MPRA Paper 41365, University Library of Munich, Germany.
    6. Kelsey, David & Yalcin, Erkan, 2007. "The arbitrage pricing theorem with incomplete preferences," Mathematical Social Sciences, Elsevier, vol. 54(1), pages 90-105, July.
    7. Eichberger, Jürgen & Kelsey, David, 2007. "Ambiguity," Papers 07-50, Sonderforschungsbreich 504.
    8. Naqvi, Nadeem, 2012. "Why is the Workplace Racially Segregated by Occupation?," MPRA Paper 43352, University Library of Munich, Germany.

    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:fth:aunaec:217. 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: Thomas Krichel (email available below). General contact details of provider: https://edirc.repec.org/data/dranuau.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.