Portfolio Response to a Shift in a Return Distribution: The Case of n-Dependent Assets
Recent papers have shown utility function conditions that are sufficient, in a two-asset context with or without stochastic dependence, for a conditional first-order stochastically dominating shift (or a conditional mean-preserving contraction) of one asset's return distribution never to result in a decline in holdings of that asset. The present paper shows that these conditions are sufficient even when there are an arbitrary number of assets. Copyright 1997 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.
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Volume (Year): 38 (1997)
Issue (Month): 4 (November)
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