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On The Microeconomic Theory Of Investment Under Uncertainty, Working Paper #958-77.pdf

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Preview of On the Microeconomic Theory of Investment Under Uncertainty, Working Paper #958-77
🔗 Source: robertcmerton.com
📊 Size: 5.76 MB
📄 Pages: 111 pages
⬇️ Downloads: 91

Summary

Robert C. Merton's paper discusses the microeconomic theory of investment under uncertainty, focusing on the behavior of households and economic organizations in allocating resources to available investment opportunities. The paper breaks down the investment decision into two parts: consumption-saving choice and portfolio selection choice. It first solves the portfolio selection problem, deriving necessary conditions for financial equilibrium, and then uses these conditions to derive optimal production decision rules for firms. The paper also discusses the one-period portfolio selection problem, assuming an investor chooses a portfolio that maximizes the expected value of a von Neumann-Morgenstern utility function for end-of-period wealth, subject to certain assumptions such as frictionless markets, price taker, no-arbitrage opportunities, and no-institutional restrictions.

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  • File Format: PDF
  • File Size: 5.76 MB
  • Pages: 111
  • Language: EN
  • Total Downloads: 91
  • Last Updated: 3 months ago

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