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Incomplete diversification and asset pricing

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Incomplete diversification and asset pricing

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Incomplete diversification and asset pricing

Madan, Dilip B.; Milne, Frank; Elliott, Robert J. - In: Advances in finance and stochastics : essays in honour …, (pp. 101-124). 2002

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Benchmarking in two price financial markets

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Measures of risk aversion with many commodities

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Risk measurement in semimartingale models with multiple consumption goods

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Incomplete diversification and asset pricing

Elliott, Robert; Madan, Dilip; Milne, Frank - 2002

Investors in equilibrium are modeled as facing investor specific risks across the space of assets. Personalized asset pricing models reflect these risks. Averaging across the pool of investors we obtain a market asset pricing model that reflects market risk exposures. It is observed on invoking...

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Induced preferences and decision-making under risk and uncertainty

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