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- W3147450106 abstract "they derive equilibrium relationships for the pricing of marketable assets. This paper will relax assumption (i), examining the portfolio selection problem of an investor who holds non-marketable assets and cannot short-sell marketable and risky assets. He faces both marketability and short-sales restrictions in the economic setting of this work. The most obvious and probably the most significant example of non-marketable assets are human capital or occupational assets. Nonmarketable assets and occupational assets will thus be treated as equivalent expressions throughout this paper. Our investor is assumed to be an expected utility of terminal wealth maximizer in the context of a one-period model and his utility function is assumed to be a monotonically increasing and concave function of wealth. The investor's expectations are assumed to be represented by a joint distribution of all assets (marketable and non-marketable) that is multivariate normal with a positive-definite variancecovariance matrix of marketable and risky assets and this distribution is assumed to induce a convergent and well defined expected utility integral. Under these assumptions the portfolio decisions of our investor can be examined in the mean-standard deviation space with a strictly convex indifference map. Finally it is assumed that a riskless asset exists in the economy and that our investor can freely borrow-and lend at the riskless rate. It will be shown that, in an economy with marketability restrictions and without short-sales, the risky portfolio selection problem of an investor can be considered in the Reward-to-Variability ratio (RV)-correlation with the occupational asset of the investor (p) space. The indifference map induced in this space is convex, RV is a good and p is a bad and thus only portfolios of marketable and risky assets that are efficient in the RV-p space are relevant for the investor. It is also shown" @default.
- W3147450106 created "2021-04-13" @default.
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- W3147450106 date "2016-01-01" @default.
- W3147450106 modified "2023-09-24" @default.
- W3147450106 title "PORTFOLIO SELECTION IN AN ECONOMY WITH MARKETABILITY AND SHORT SALES RESTRICTIONS" @default.
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