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Portfolio dominance and optimality in infinite security markets

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Portfolio dominance and optimality in infinite security markets

Auteurs : C. D. Aliprantis [États-Unis] ; D. J. Brown [États-Unis] ; I. A. Polyrakis [Grèce] ; J. Werner [États-Unis, Allemagne]

Source :

Journal of Mathematical Economics [ 0304-4068 ] ; 1998.

RBID : ISTEX:BA05C55D22E88816902E1373EE2BA086BEBBB12B

Abstract

The most natural way of ordering portfolios is by comparing their payoffs. A portfolio with payoff higher than the payoff of another portfolio is greater in the sense of portfolio dominance than that other portfolio. Portfolio dominance is a lattice order if the supremum and the infimum of any two portfolios are well-defined. We study security markets with infinitely many securities and arbitrary finite portfolio holdings. If portfolio dominance order is a lattice order and has a Yudin basis, then optimal portfolio allocations and equilibria in security markets do exist.

Url:

https://api.istex.fr/document/BA05C55D22E88816902E1373EE2BA086BEBBB12B/fulltext/pdf

DOI: 10.1016/S0304-4068(97)00038-4

Affiliations:

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<front><div type="abstract" xml:lang="en">The most natural way of ordering portfolios is by comparing their payoffs. A portfolio with payoff higher than the payoff of another portfolio is greater in the sense of portfolio dominance than that other portfolio. Portfolio dominance is a lattice order if the supremum and the infimum of any two portfolios are well-defined. We study security markets with infinitely many securities and arbitrary finite portfolio holdings. If portfolio dominance order is a lattice order and has a Yudin basis, then optimal portfolio allocations and equilibria in security markets do exist.</div>
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Portfolio dominance and optimality in infinite security markets

Portfolio dominance and optimality in infinite security markets

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