SFB 303 Discussion Paper No. A - 521

Author: Bettzüge, Marc-Olliver
Title: An Extension of a Theorem by Mitjushin and Polterovich to Incomplete Markets
Abstract: This paper generalises the Mitjushin-Polterovich Theorem to the case of economics with incomplete financial markets where utility functions are of the von Neumann-Morgenstern-type. We thus give a sufficient condition on the joint distribution of the asset payoffs and the endowments which guarantees strict monotonicity of individual demand functions if the utility functions display small relative risk aversion.
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Creation-Date: 1996
URL: ../1996/a/bonnsfa521.pdf

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