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2017 | OriginalPaper | Buchkapitel

3. Portfolio, Insurance and Saving Decisions

verfasst von : Emilio Barucci, Claudio Fontana

Erschienen in: Financial Markets Theory

Verlag: Springer London

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Abstract

In this chapter, in the context of a simple two-period economy, we study the optimal portfolio problem of a risk averse agent, first in the case of a single risky asset and then in the more general case of multiple risky assets. We present several comparative statics results as well as closed-form solutions. We then derive the mean-variance portfolio frontier and present its most important properties, also including a risk free asset. The chapter closes by considering optimal insurance problems and optimal consumption-saving problems in a two-period economy.

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Titel: Portfolio, Insurance and Saving Decisions
verfasst von: Emilio Barucci
Claudio Fontana
Verlag: Springer London
Buch: Financial Markets Theory
Print ISBN: 978-1-4471-7321-2

Electronic ISBN: 978-1-4471-7322-9

Copyright-Jahr: 2017
DOI: https://doi.org/10.1007/978-1-4471-7322-9_3