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Mean-Preserving Portfolio Dominance

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  • Landsberger, Michael
  • Meilijson, Isaac
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    Abstract

    Consider risk-averse agents with utility functions U and V holding portfolios composed of the same two (risky and riskless) assets. Then, V is (Arrow) more risk averse if in all such portfolios V invests less in the risky asset. A natural extension of this analysis of attitudes towards risk to risk itself is to establish a relation between distributions which is necessary and sufficient to induce such investment patterns in the class of all risk-averse agents. This characterization is established in this paper for distributions with equal means. Copyright 1993 by The Review of Economic Studies Limited.

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    Bibliographic Info

    Article provided by Wiley Blackwell in its journal Review of Economic Studies.

    Volume (Year): 60 (1993)
    Issue (Month): 2 (April)
    Pages: 479-85

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    Handle: RePEc:bla:restud:v:60:y:1993:i:2:p:479-85

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    Cited by:
    1. Harris Schlesinger & Christian Gollier, 2001. "Changes in Risk and Asset Prices," CESifo Working Paper Series 443, CESifo Group Munich.
    2. Jouini, Elyès & Napp, Clotilde, 2008. "On Abel's Concepts of Doubt and Pessimism," Economics Papers from University Paris Dauphine 123456789/198, Paris Dauphine University.
    3. Ormiston, Michael B. & E. Schlee, Edward, 1999. "Comparative statics tests between decision models under risk," Journal of Mathematical Economics, Elsevier, vol. 32(2), pages 145-166, October.
    4. Jouini, Elyès & Napp, Clotilde, 2012. "Behavioral Biases and the Representative Agent," Economics Papers from University Paris Dauphine 123456789/2319, Paris Dauphine University.
    5. Machnes, Yaffa, 1995. "Deductible insurance and production," Insurance: Mathematics and Economics, Elsevier, vol. 17(2), pages 119-123, October.

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