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A Note on Portfolio Dominance

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  • Christian Gollier

Abstract

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. We show that the condition obtained by Landsberger and Meilijson (1993), while necessary, is not sufficient for portfolio dominance and we present an exact necessary and sufficient condition.

Suggested Citation

  • Christian Gollier, 1997. "A Note on Portfolio Dominance," Review of Economic Studies, Oxford University Press, vol. 64(1), pages 147-150.
  • Handle: RePEc:oup:restud:v:64:y:1997:i:1:p:147-150.
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    File URL: http://hdl.handle.net/10.2307/2971744
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    Cited by:

    1. Elyès Jouini & Clotilde Napp & Diego Nocetti, 2013. "Collective risk aversion," Social Choice and Welfare, Springer;The Society for Social Choice and Welfare, vol. 40(2), pages 411-437, February.
    2. Elyès Jouini & Clotilde Napp, 2009. "Cognitive biases and the representative agent," Working Papers halshs-00488570, HAL.
    3. Jouini, E. & Napp, C., 2008. "On Abel's concept of doubt and pessimism," Journal of Economic Dynamics and Control, Elsevier, vol. 32(11), pages 3682-3694, November.
    4. Diego Nocetti & Elyès Jouini & Clotilde Napp, 2008. "Properties of the Social Discount Rate in a Benthamite Framework with Heterogeneous Degrees of Impatience," Management Science, INFORMS, vol. 54(10), pages 1822-1826, October.
    5. repec:dau:papers:123456789/2319 is not listed on IDEAS
    6. Gollier Christian & Schlee Edward E, 2006. "Increased Risk-Bearing with Background Risk," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 6(1), pages 1-29, March.
    7. Chuang, O-Chia & Kuan, Chung-Ming & Tzeng, Larry Y., 2017. "Testing for central dominance: Method and application," Journal of Econometrics, Elsevier, vol. 196(2), pages 368-378.
    8. repec:dau:papers:123456789/198 is not listed on IDEAS
    9. repec:dau:papers:123456789/1051 is not listed on IDEAS
    10. Elyès Jouini & Clotilde Napp, 2012. "Behavioral biases and the representative agent," Theory and Decision, Springer, vol. 73(1), pages 97-123, July.

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