Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/189190 
Erscheinungsjahr: 
1992
Schriftenreihe/Nr.: 
Queen's Economics Department Working Paper No. 866
Verlag: 
Queen's University, Department of Economics, Kingston (Ontario)
Zusammenfassung: 
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.
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
1.63 MB





Publikationen in EconStor sind urheberrechtlich geschützt.