A Note on Portfolio Dominance
In the standard portfolio problem, a shift in the distribution of the risky asset is 'portfolio-dominated' if it reduces the demand for the risky asset by all risk-averse agents, irrespective of the risk-free rate. The author shows that the condition obtained by M. Landsberger and I. Meilijson (1993), while necessary, is not sufficient for portfolio dominance and he presents an exact necessary and sufficient condition. Copyright 1997 by The Review of Economic Studies Limited.
Volume (Year): 64 (1997)
Issue (Month): 1 (January)
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