| Registro completo |
| Provedor de dados: |
AgEcon
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| País: |
United States
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| Título: |
Portfolio Choice with Uncertain Consumption Prices: a mean-variance approch
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| Autores: |
Berck, Peter
Cecchetti, Stephen G.
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| Data: |
2008-07-15
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| Ano: |
1980
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| Palavras-chave: |
Consumption
Investments
Prices
Risk
Risk and Uncertainty
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| Resumo: |
This paper presents a mean-variance model of portfolio choice and asset pricing when the price of consumption goods as well as the return to assets is uncertain. The correlation of an assets return with purchases at expected prices is shown to reduce both the mean return and the variance of the return of an asset. A numerical approximation is computed to check the accuracy of the mean and variance approximation. Uncertainty of consumption prices is shown to result in long (or speculative) futures holding.
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| Tipo: |
Working or Discussion Paper
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| Idioma: |
Inglês
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| Identificador: |
http://purl.umn.edu/37852
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| Relação: |
University of California, Berkeley>Department of Agricultural and Resource Economics>CUDARE Working Papers
CUDARE Working Paper
158
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| Formato: |
19
|
