Given decreasing marginal utility, it is possible to prove that in a mean-variance framework no individual will

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Given decreasing marginal utility, it is possible to prove that in a mean-variance framework no individual will hold 100% of his or her wealth in the risk-free asset. Why?

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Financial Theory and Corporate Policy

ISBN: 978-0321127211

4th edition

Authors: Thomas E. Copeland, J. Fred Weston, Kuldeep Shastri

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Question Posted: Apr 26, 2016 08:24 AM

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Given decreasing marginal utility, it is possible to prove that in a mean-variance framework no individual will

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Going back to Chapter 3 Utility Theory we have the result that when returns are normally distribu...View the full answer

Financial Theory and Corporate Policy

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