Stochastic Dominance and Optimal Portfolio
We analyze the effect of generalized first and second order stochastic dominance changes in a returns distribution on optimal financial portfolios with two risky and a risk free assets. We show that constant relative risk aversion plays an important role in explaining how the composition of the portfolios is affected. The results are interpreted in terms of two-fund separation.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
|Date of creation:||2001|
|Date of revision:|
|Contact details of provider:|| Postal: Canada; ECOLE DES HAUTES ETUDES COMMERCIALES(H.E.C.),3000, chemin de la Cote-Sainte-Catherine. Montreal (Quebec) Canada H3T 2A7.|
Web page: http://www.hec.ca/
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Dionne, G. & Gollier, C., 1996.
"A Model of Comparative Statics for Changes in Stochastic Returns with Dependent Risky Assets,"
9609, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor..
- Dionne, Georges & Gollier, Christian, 1996. "A Model of Comparative Statics for Changes in Stochastic Returns with Dependent Risky Assets," Journal of Risk and Uncertainty, Springer, vol. 13(2), pages 147-62, September.
- DIONNE, Georges & GOLLIER, Christian, 1995. "A Model of Comparative Statics for Changes in Stochastic Returns with Dependent Risky Assets," Cahiers de recherche 9560, Universite de Montreal, Departement de sciences economiques.
- 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.
- Dionne, G. & Gollier, C., 1996. "A Model Of Comparative Statics For Changes in Stochastic Returns With Dependent Risky Assets," Papers 96.420, Toulouse - GREMAQ.
- Caballé, Jordi & Pomansky, Alexey, 1995.
"Mixed Risk Aversion,"
Working Paper Series
444, Research Institute of Industrial Economics.
- K. Dachraoui & G. Dionne & L. Eeckhoudt & P. Godfroid, 1999.
"Proper risk behavior,"
THEMA Working Papers
99-27, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Patrick L. Brockett & Linda L. Golden, 1987. "A Class of Utility Functions Containing all the Common Utility Functions," Management Science, INFORMS, vol. 33(8), pages 955-964, August.
- EECKHOUDT, Louis & Christian GOLLIER & Harris SCHLESINGER, 1994.
"Changes in Background Risk and Risk Taking Behavior,"
005, Risk and Insurance Archive.
- Eeckhoudt, Louis & Gollier, Christian & Schlesinger, Harris, 1996. "Changes in Background Risk and Risk-Taking Behavior," Econometrica, Econometric Society, vol. 64(3), pages 683-89, May.
- Rothschild, Michael & Stiglitz, Joseph E., 1971. "Increasing risk II: Its economic consequences," Journal of Economic Theory, Elsevier, vol. 3(1), pages 66-84, March.
- Eeckhoudt,L. & Gollier, C., 1997. "Changing in Risk and Risk Taking: A Survey," Papers 97.472, Toulouse - GREMAQ.
- Rothschild, Michael & Stiglitz, Joseph E., 1970. "Increasing risk: I. A definition," Journal of Economic Theory, Elsevier, vol. 2(3), pages 225-243, September.
- Meyer, Jack & Ormiston, Michael B, 1985. "Strong Increases in Risk and Their Comparative Statics," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 26(2), pages 425-37, June.
- Cass, David & Stiglitz, Joseph E., 1970. "The structure of investor preferences and asset returns, and separability in portfolio allocation: A contribution to the pure theory of mutual funds," Journal of Economic Theory, Elsevier, vol. 2(2), pages 122-160, June.
- Dachraoui, K. & Eeeckhoudt, L. & Godfroid.P., 1999. "Proper Risk Behavior," Ecole des Hautes Etudes Commerciales de Montreal- 99-01, Ecole des Hautes Etudes Commerciales de Montreal-Chaire de gestion des risques..
- Ross, Stephen A, 1981. "Some Stronger Measures of Risk Aversion in the Small and the Large with Applications," Econometrica, Econometric Society, vol. 49(3), pages 621-38, May.
When requesting a correction, please mention this item's handle: RePEc:fth:etcori:01-01. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Thomas Krichel)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.