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- Title
Comment on Borch and Feldstein.
- Authors
Tobin, James
- Abstract
The paper on mean-variance analysis in the theory of liquidity preference and portfolio selection is discussed. It is considered that an investor deciding how much, if any each of assets to hold in is portfolio for a definite period of time. The portfolio return R will have an equation where there are random variables. Furthermore, the portfolio choices of an expected-utility-maximizing investor can be analyzed in terms of the parameters of mean and variance, of his subjective probability distributions of the returns from alternative possible portfolios only if one or both of the two assumptions is met: a) if the investor's utility function is quadratic and b) if he regards the random variables as normally distributed.
- Subjects
DEMAND for money; MULTIVARIATE analysis; INVESTMENTS; ANALYSIS of variance; MATHEMATICAL statistics; LIQUIDITY (Economics); PORTFOLIO management (Investments); INVESTMENT analysis
- Publication
Review of Economic Studies, 1969, Vol 36, Issue 1, p13
- ISSN
0034-6527
- Publication type
Article
- DOI
10.2307/2296338