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Safety First — An Expected Utility Principle

Published online by Cambridge University Press:  19 October 2009

Haim Levy  and
Marshall Sarnat
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Extract

The theory of choice under conditions of certainty has been extended by Von Neumann and Morgenstern [8], Friedman and Savage [5], Marschak [13], and others to conditions involving risk by assuming that individuals maximize their expected utility. The application of this theory to portfolio selection, to efficiency criteria, and to the explanation of the well-known phenomenon of diversification of assets has been carried further by Markowitz [11 and 12], Tobin [17], Samuelson [15], Sharpe [16], and Lintner [10], and more recently by Hadar and Russell [5] and Hanoch and Levy [8].

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 7 , Issue 3 , June 1972 , pp. 1829 - 1834
Copyright
Copyright © School of Business Administration, University of Washington 1972

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References

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