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Optimal Financial Portfolio and Dependence of Risky Assets

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Author Info
Dachraoui, K.
Dionne, G.

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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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Publisher Info
Paper provided by Ecole des Hautes Etudes Commerciales de Montreal-Chaire de gestion des risques. in its series Ecole des Hautes Etudes Commerciales de Montreal- with number 00-12.

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Length: 11 pages
Date of creation: 2000
Date of revision:
Handle: RePEc:fth:etcori:00-12

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Postal: Canada; ECOLE DES HAUTES ETUDES COMMERCIALES(H.E.C.),3000, chemin de la Cote-Sainte-Catherine. Montreal (Quebec) Canada H3T 2A7.
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Web page: http://www.hec.ca/
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Related research
Keywords: RISK ; INVESTMENTS ; UUTILITY FUNCTIONS;

Other versions of this item:

Find related papers by JEL classification:
G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Satya P. DAS & Chetan CHATE, 2001. "Endogenous Distribution, Politics, and Growth," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2001019, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    Other versions:
  2. 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. [Downloadable!]
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This page was last updated on 2009-11-20.

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