We study the effect of riskiness on optimal portfolio. As discussed by Levy (1992), the main drawback of the standard model witg ine decision variable and one risky asset developed over the last twenty-five years, following the contributions of Rothschild and Stiglitz (1970,1971) and Hadar and Russell (1969), is in the area of finance since thios framework is not appropiate to study portfolio diversification. Our purpose is to answer the following question: How a mean preserving spread on the returns ofa given asset affect the composition of an optimal portfolio with two risky assets and one riskless asset?
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Paper provided by Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor. in its series Papers with number
9729.
Length: 34 pages Date of creation: 1997 Date of revision: Handle: RePEc:fth:pnegmi:9729
Contact details of provider: Postal: THEMA, Universite de Paris X-Nanterre, U.F.R. de science economiques, gestion, mathematiques et informatique, 200, avenue de la Republique 92001 Nanterre CEDEX.
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