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Portfolio Response to a Shift in a Return Distribution: Comment

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  • Dachraoui, K.
  • Dionne, G.

Abstract

In this paper we show how a shift in a return distribution affects the composition of an optimal portfolio in the case of one riskless asset and two risky assets. We obtain that, in general, such a shift modifies the composition of the mutual fund. We also show that the separating conditions presented in the finance literature for the seting of the optimal portfolios, are not robust to the comparative statics following distributional shifts if we want to obtain intuitive results.

Suggested Citation

  • Dachraoui, K. & Dionne, G., 1998. "Portfolio Response to a Shift in a Return Distribution: Comment," Ecole des Hautes Etudes Commerciales de Montreal- 98-08, Ecole des Hautes Etudes Commerciales de Montreal-Chaire de gestion des risques..
  • Handle: RePEc:fth:etcori:98-08
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    Keywords

    RISK ; FINANCIAL ASSETS;

    JEL classification:

    • D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General

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