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A model of comparative statics for changes in stochastic returns with dependent risky assets

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  • G. Dionne
  • C. Gollier

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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Suggested Citation

  • G. Dionne & C. Gollier, 1996. "A model of comparative statics for changes in stochastic returns with dependent risky assets," THEMA Working Papers 96-09, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  • Handle: RePEc:ema:worpap:96-09
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    References listed on IDEAS

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    1. De Wolf, Olivier & Forges, Francoise, 1998. " Rational Choice in Strategic Environments: Further Observations," Scandinavian Journal of Economics, Wiley Blackwell, pages 529-535.
    2. Dubey, Pradeep & Geanakoplos, John & Shubik, Martin, 1987. "The revelation of information in strategic market games : A critique of rational expectations equilibrium," Journal of Mathematical Economics, Elsevier, vol. 16(2), pages 105-137, April.
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    5. MINELLI, Enrico & POLEMARCHAKIS, Heracles, 1993. "Knowledge at Equilibrium," CORE Discussion Papers 1993054, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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    7. Dubey, Pradeep & Shapley, Lloyd S., 1994. "Noncooperative general exchange with a continuum of traders: Two models," Journal of Mathematical Economics, Elsevier, vol. 23(3), pages 253-293, May.
    8. Postlewaite, Andrew & Schmeidler, David, 1986. "Implementation in differential information economies," Journal of Economic Theory, Elsevier, vol. 39(1), pages 14-33, June.
    9. Kaneko, Mamoru, 1982. "Some remarks on the folk theorem in game theory," Mathematical Social Sciences, Elsevier, pages 281-290.
    10. Blume, Lawrence & Easley, David, 1990. "Implementation of Walrasian expectations equilibria," Journal of Economic Theory, Elsevier, vol. 51(1), pages 207-227, June.
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    12. Forges, Francoise M, 1986. "An Approach to Communication Equilibria," Econometrica, Econometric Society, vol. 54(6), pages 1375-1385, November.
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    Citations

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    Cited by:

    1. 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.
    2. Anissa Chaibi & Maria-Lenuta Ciupac-Ulici & Mircea-Cristian Gherman, 2014. "Do Recent Stochastic Tools Help to Better Understand Investors Preference and Asset Allocation?," Working Papers 2014-130, Department of Research, Ipag Business School.
    3. 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.
    4. Dachraoui, K. & Dionne, G., 2000. "Optimal Financial Portfolio and Dependence of Risky Assets," Ecole des Hautes Etudes Commerciales de Montreal- 00-12, Ecole des Hautes Etudes Commerciales de Montreal-Chaire de gestion des risques..
    5. Dachraoui, Kais & Dionne, Georges, 2001. "Stochastic dominance and optimal portfolio," Economics Letters, Elsevier, pages 347-354.
    6. Burton Hollifield & Robert A. Miller & Patrik Sandås, 2004. "Empirical Analysis of Limit Order Markets," Review of Economic Studies, Oxford University Press, pages 1027-1063.
    7. 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.
    8. Burton Hollifield & Alan Kraus, 2009. "Defining Bad News: Changes in Return Distributions That Decrease Risky Asset Demand," Management Science, INFORMS, pages 1227-1236.

    More about this item

    JEL classification:

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

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