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The Monotonicity of Asset Prices with Changes in Risk

Author

Listed:
  • Masamitsu Ohnishi

    (Graduate School of Economics, Osaka University)

  • Yusuke Osaki

    (Graduate School of Economics, Osaka University)

Abstract

The goal of this paper is the examination of the conditions on preferences to guarantee the monotonicity of asset prices, when their returns change in the sense of first- and second-order stochastic dominances.

Suggested Citation

  • Masamitsu Ohnishi & Yusuke Osaki, 2005. "The Monotonicity of Asset Prices with Changes in Risk," Discussion Papers in Economics and Business 05-14, Osaka University, Graduate School of Economics.
    • Handle: RePEc:osk:wpaper:0514
    as

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    File URL: http://www2.econ.osaka-u.ac.jp/library/global/dp/0514.pdf
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    References listed on IDEAS

    as
    1. Eeckhoudt,L. & Gollier, C., 1997. "Changing in Risk and Risk Taking: A Survey," Papers 97.472, Toulouse - GREMAQ.
    2. Peter C. Fishburn & R. Burr Porter, 1976. "Optimal Portfolios with One Safe and One Risky Asset: Effects of Changes in Rate of Return and Risk," Management Science, INFORMS, vol. 22(10), pages 1064-1073, June.
    3. Kimball, Miles S, 1990. "Precautionary Saving in the Small and in the Large," Econometrica, Econometric Society, vol. 58(1), pages 53-73, January.
    4. Gollier, Christian & Schlesinger, Harris, 2002. "Changes in risk and asset prices," Journal of Monetary Economics, Elsevier, vol. 49(4), pages 747-760, May.
    5. Christian Gollier, 2004. "The Economics of Risk and Time," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262572249, December.
    6. Gollier Christian, 1995. "The Comparative Statics of Changes in Risk Revisited," Journal of Economic Theory, Elsevier, vol. 66(2), pages 522-535, August.
    7. Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 46(6), pages 1429-1445, November.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Asset Price; Comparative Statics; First-order Stochastic Dominance; Second-order Stochastic Dominance.;
    All these keywords.

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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