Portfolio Response to a Shift in a Return Distribution: The Case of n-Dependent Assets
AbstractRecent papers have shown utility function conditions that are sufficient, in a two-asset context with or without stochastic dependence, for a conditional first-order stochastically dominating shift (or a conditional mean-preserving contraction) of one asset's return distribution never to result in a decline in holdings of that asset. The present paper shows that these conditions are sufficient even when there are an arbitrary number of assets. Copyright 1997 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.
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Bibliographic InfoArticle provided by Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association in its journal International Economic Review.
Volume (Year): 38 (1997)
Issue (Month): 4 (November)
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- Eichner, Thomas, 2011. "Portfolio selection and duality under mean variance preferences," Insurance: Mathematics and Economics, Elsevier, vol. 48(1), pages 146-152, January.
- Gelles, Gregory M. & Mitchell, Douglas W., 2002. "Increasingly mean-seeking utility functions and n-asset portfolios," The Quarterly Review of Economics and Finance, Elsevier, vol. 42(5), pages 911-919.
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