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Distributional Analysis of Portfolio Choice

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Author Info
Philip H. Dybvig (Cowles Foundation, Yale University)

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Abstract

We compare trading in a market with receiving some particular consumption bundle, given increasing state-independent preferences and complete markets. The analysis focuses on the distributional price of the particular bundle. The distributional price is the price of the cheapest utility-equivalent bundle sold in the market. The distributional price is determined by the distributional functions of the outside bundle and the state price density. Simple portfolio performance measures illustrate the value of the approach. Unlike CAPM-based measures, these measures are valid even when superior information is the source of superior performance.

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Publisher Info
Paper provided by Cowles Foundation, Yale University in its series Cowles Foundation Discussion Papers with number 827R.

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Length: 41 pages
Date of creation: 1987
Date of revision: Jan 1988
Publication status: Published in Journal of Business (1988), 61(3): 369-393
Handle: RePEc:cwl:cwldpp:827r

Note: CFP 709.
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Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA

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  1. Elyès Jouini & Clotilde Napp, 2004. "Conditional comonotonicity," Decisions in Economics and Finance, Springer, vol. 27(2), pages 153-166, December. [Downloadable!] (restricted)
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  2. Günter Franke & Martin Weber, 2001. "Heterogeneity of Investors and Asset Pricing in a Risk-Value World," CoFE Discussion Paper 01-08, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
    Other versions:
  3. Elyès Jouini, 2003. "Market imperfections , equilibrium and arbitrage," Post-Print halshs-00167131_v1, HAL. [Downloadable!]
    Other versions:
  4. Abdelhamid Bizid & Elyès Jouini, 2005. "Equilibrium Pricing in Incomplete Markets," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00176484_v1, HAL. [Downloadable!]
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  5. Sergio Ortobelli Lozza, 2001. "The classification of parametric choices under uncertainty: analysis of the portfolio choice problem," Theory and Decision, Springer, vol. 51(2), pages 297-328, December. [Downloadable!] (restricted)
  6. Borglin, Anders & Flåm, Sjur, 2007. "Rationalizing Constrained Contingent Claims," Working Papers 2007:12, Lund University, Department of Economics. [Downloadable!]
  7. Elyès Jouini & Hédi Kallal, 1999. "Efficient Trading Strategies in the Presence of Market Frictions," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-035, New York University, Leonard N. Stern School of Business-. [Downloadable!]
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