Departmental Bulletin Paper 流動性選好と資産選択に関する試論 : 分離定理モデルを用いて
Liquidity Preference and Portfolio Selection : Using Tobin's Separation Theorem

葉山, 幸嗣

48 ( 2 )  , pp.11 - 15 , 2016-01 , 和光大学社会経済研究所
In this essay, I demonstrated about the investor's portfolio selection from the angle of the liquidity preference which can't explain Tobin's 2 parameters approach. According to the Separation Theorem, a rational investor chose his portfolio to be the most suitable combination of an expected rate of return and variance.On the other hand, some investors buy a lottery, their expected rate of return lower than rate of return which the case all properties are held by safe asset like money.In this point, I show those investors are also rational by assuming the degree of liquidity of assets. If the liquidity is large enough, the investor buy lottery even if his expected rate of return is lower than the case only safe money is held.

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