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Portfolio Response to a Shift in a Return Distribution: Comment

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Author Info

  • Dachraoui, K.
  • Dionne, G.

Abstract

In this paper we show how a shift in a return distribution affects the composition of an optimal portfolio in the case of one riskless asset and two risky assets. We obtain that, in general, such a shift modifies the composition of the mutual fund. We also show that the separating conditions presented in the finance literature for the seting of the optimal portfolios, are not robust to the comparative statics following distributional shifts if we want to obtain intuitive results.

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Bibliographic 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 98-08.

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Length: 12 pages
Date of creation: 1998
Date of revision:
Handle: RePEc:fth:etcori:98-08

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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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Keywords: RISK ; FINANCIAL ASSETS;

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