This paper tests the joint hypothesis of rational expectations and the expectations model of the term structure for three- and six-month Treasury bills. Previous studies are extended in three directions. First, common efficient markets-rational expectations tests are compared, and it is shown...

When all financial assets have risky returns, the mean-variance portfolio model is potentially subject to two types of bliss points. One bliss point arises when a von Neumann-Morgenstern utility function displays negative marginal utility for sufficiently large end-of-period wealth, such as in...

The primary purpose of this paper is to demonstrate that decentralized investment management systems may not always be efficient. Specifically, within the context of a particular portfolio choice paradigm it is shown that a given decentralized investment management system is (weakly) efficient...

The purpose of the present paper is to investigate the effects of expected inflation on the general level of common stock prices using a structural rather than a reduced-form approach. To this end, an aggregative partial-equilibrium structural econometric model of the U.S. equity market is...

This paper discusses the issue of consistent simple sum aggregation over assets within the context of expected utility maximizing investors. The first part of the paper extends the Hicks and Leontief aggregation theorems of consumer choice theory to the portfolio choice problem. Next, necessary...

In this paper, necessary and sufficient conditions for an asset substitution matrix to be symmetric for all distributions of rates of return are derived. It is found that symmetry in this context is essentially equivalent to the proposition that the von Neumann-Morgenstern utility function...