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Stochastic dominance on optimal portfolio with one risk-less and two risky assets

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Author Info
Jean Fernand Nguema () (LAMETA UFR Sciences Economiques Montpellier)
Abstract

The paper provides restrictions on the investor's utility function which are sufficient for a dominating shift no decrease in the investment in the respective asset if there are one risk free asset and two risky assets in the portfolio. The analysis is then confined to portfolio in which the distributions of assets differ by a first-degree-stochastic dominance shift.

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File URL: http://economicsbulletin.vanderbilt.edu/2005/volume7/EB-05G10007A.pdf
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Publisher Info
Article provided by Economics Bulletin in its journal Economics Bulletin.

Volume (Year): 7 (2005)
Issue (Month): 7 ()
Pages: 1-7
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:ebl:ecbull:v:7:y:2005:i:7:p:1-7

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Related research
Keywords: financial portfolio; risk aversion; stochastic dominance;

Find related papers by JEL classification:
G1 - Financial Economics - - General Financial Markets
D8 - Microeconomics - - Information, Knowledge, and Uncertainty

References listed on IDEAS
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  1. Meyer, Jack & Ormiston, Michael B, 1989. " Deterministic Transformations of Random Variables and the Comparative Statics of Risk," Journal of Risk and Uncertainty, Springer, vol. 2(2), pages 179-88, June.
  2. Meyer, Jack & Ormiston, Michael B, 1994. "The Effect on Optimal Portfolios of Changing the Return to a Risky Asset: The Case of Dependent Risky Returns," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 35(3), pages 603-12, August. [Downloadable!] (restricted)
  3. Rothschild, Michael & Stiglitz, Joseph E., 1971. "Increasing risk II: Its economic consequences," Journal of Economic Theory, Elsevier, vol. 3(1), pages 66-84, March. [Downloadable!] (restricted)
  4. Hadar, Josef & Seo, Tae Kun, 1990. "The Effects of Shifts in a Return Distribution on Optimal Portfolios," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 31(3), pages 721-36, August. [Downloadable!] (restricted)
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This page was last updated on 2009-11-16.

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