Mean-Preserving Portfolio Dominance
AbstractConsider 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 InfoArticle provided by Wiley Blackwell in its journal Review of Economic Studies.
Volume (Year): 60 (1993)
Issue (Month): 2 (April)
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