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Optimal Financial Portfolio and Dependence of Risky Assets

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  • K. Dachraoui
  • G. Dionne

Abstract

In this note we analyze the hedging property of an optimal portfolio with one risk-free asset and two risky assets. We make a restriction on the dependence between the two risky assets and show that the sign of the covariance is necessary and sufficient to set the relative investments in the two risky assets of the portfolio for all concave utility functions.

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Bibliographic Info

Paper provided by THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise in its series THEMA Working Papers with number 2000-57.

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Date of creation: 2000
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Handle: RePEc:ema:worpap:2000-57

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  1. Ephraim Clark & Octave Jokung, 1999. "A Note on Asset Proportions, Stochastic Dominance, and the 50% Rule," Management Science, INFORMS, vol. 45(12), pages 1724-1727, December.
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Cited by:
  1. DENUIT, Michel & SAILLET, Olivier, 2001. "Nonparametric Tests for Positive Quadrant Dependence," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2001009, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), revised 01 Apr 2001.
  2. Satya Das & Chetan Ghate, 2002. "Endogenous Distribution, Politics and Growth," Discussion Papers of DIW Berlin 310, DIW Berlin, German Institute for Economic Research.

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