Investment Portfolio Decision-making

allocation alternative analysis Arrow-Debreu assessments assessor asset pricing model assumed assumption axioms behavior bets borrowing capital asset pricing capital market common stock consumption contingent returns controlled transition costs decision decision problem dividend E(Rm economic efficient market hypothesis efficient portfolios empirical equation evaluation ex post example expected return expected utility expected value Fama firm given hedged horizon implies income indifference curves individual investment investor Jensen Jensen measure Journal of Finance Lintner market model market portfolio Markowitz maximize measure mutual funds one-period optimal option partition performance period portfolio selection positive possible preference probability distributions problem producer R₁ random random variables revision risk aversion risk premium riskless asset risky assets Samuelson Scholes scoring rule share shareholders Sharpe short selling standard deviation stochastic stock price strategy theorem theory tion Treynor u₁ utility function valuation variables variance wealth X₁ zero