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A model of comparative statics for changes in stochastic returns with dependent risky assets

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  • G. Dionne
  • C. Gollier

Abstract

In this paper we show how the order of Linear Stochastic Dominance proposed by Gollier (1995) can be applied to situations with dependent risky assets.

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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 96-09.

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Date of creation: 1996
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Handle: RePEc:ema:worpap:96-09

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Cited by:
  1. Dachraoui, K. & Dionne, G., 2001. "Stochastic Dominance and Optimal Portfolio," Ecole des Hautes Etudes Commerciales de Montreal-, Ecole des Hautes Etudes Commerciales de Montreal-Chaire de gestion des risques. 01-01, Ecole des Hautes Etudes Commerciales de Montreal-Chaire de gestion des risques..
  2. Choi, Gyemyung & Kim, Iltae & Snow, Arthur, 2000. "Comparative statics predictions for the cross-effects of central dominance changes in risk with quasilinear payoffs," Economics Letters, Elsevier, Elsevier, vol. 66(1), pages 41-48, January.
  3. Amigues, J-P & Favard, P & Gaudet, G & Moreaux, M, 1996. "On the Optimal Order of Natural Resource Use When the Capacity of the Inexhaustible Substitute is Limited," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 9628, Universite de Montreal, Departement de sciences economiques.
  4. Edward Schlee & Christian Gollier, . "Increased Risk-Bearing with Background Risk," Working Papers, Department of Economics, W. P. Carey School of Business, Arizona State University 2132848, Department of Economics, W. P. Carey School of Business, Arizona State University.

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