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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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File URL: http://hdl.handle.net/1866/2002
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Bibliographic Info

Paper provided by Universite de Montreal, Departement de sciences economiques in its series Cahiers de recherche with number 9560.

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Date of creation: 1995
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Handle: RePEc:mtl:montde:9560

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Postal: CP 6128, Succ. Centre-Ville, Montréal, Québec, H3C 3J7
Phone: (514) 343-6540
Fax: (514) 343-5831
Web page: http://www.sceco.umontreal.ca
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Find related papers by JEL classification:

• D8 - Microeconomics - - Information, Knowledge, and Uncertainty
• G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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Cited by:

1. Christian Gollier & Edward E. Schlee, 2006. "Increased Risk-Bearing with Background Risk," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 0(1), pages 3.
   
   • Edward Schlee & Christian Gollier, . "Increased Risk-Bearing with Background Risk," Working Papers 2132848, Department of Economics, W. P. Carey School of Business, Arizona State University.
2. Amigues, Jean-Pierre & Favard, Pascal & Gaudet, Gerard & Moreaux, Michel, 1998. "On the Optimal Order of Natural Resource Use When the Capacity of the Inexhaustible Substitute Is Limited," Journal of Economic Theory, Elsevier, vol. 80(1), pages 153-170, May.
   
   • Amigues, J.-P. & Favard, P. & Gaudet, G. & Moreaux, M., 1996. "On The Optimal Order of Natural Resourse Use When the Capacity of the Inexhaustible Substitute is Limited," Papers 96.431, Toulouse - GREMAQ.
   • 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 9628, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
   • 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 9628, Universite de Montreal, Departement de sciences economiques.
3. K. Dachraoui & G. Dionne, 2001. "Stochastic Dominance and Optimal Portfolio," THEMA Working Papers 2001-01, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
   
   • Dachraoui, Kais & Dionne, Georges, 2001. "Stochastic dominance and optimal portfolio," Economics Letters, Elsevier, vol. 71(3), pages 347-354, June.
   • Dachraoui, K. & Dionne, G., 2001. "Stochastic Dominance and Optimal Portfolio," Ecole des Hautes Etudes Commerciales de Montreal- 01-01, Ecole des Hautes Etudes Commerciales de Montreal-Chaire de gestion des risques..
4. 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, vol. 66(1), pages 41-48, January.

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