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The Monotonicity of Asset Prices with Changes in Risk

  • Masamitsu Ohnishi

    ()

    (Graduate School of Economics, Osaka University)

  • Yusuke Osaki

    ()

    (Graduate School of Economics, Osaka University)

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    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.

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    File URL: http://www2.econ.osaka-u.ac.jp/library/global/dp/0514.pdf
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    Paper provided by Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP) in its series Discussion Papers in Economics and Business with number 05-14.

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    Length: 9 pages
    Date of creation: May 2005
    Date of revision:
    Handle: RePEc:osk:wpaper:0514
    Contact details of provider: Web page: http://www.econ.osaka-u.ac.jp/
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    1. Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 46(6), pages 1429-45, November.
    2. Kimball, Miles S, 1990. "Precautionary Saving in the Small and in the Large," Econometrica, Econometric Society, vol. 58(1), pages 53-73, January.
    3. 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.
    4. Harris Schlesinger & Christian Gollier, 2001. "Changes in Risk and Asset Prices," CESifo Working Paper Series 443, CESifo Group Munich.
    5. Christian Gollier, 2004. "The Economics of Risk and Time," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262572249, June.
    6. Eeckhoudt,L. & Gollier, C., 1997. "Changing in Risk and Risk Taking: A Survey," Papers 97.472, Toulouse - GREMAQ.
    7. Gollier Christian, 1995. "The Comparative Statics of Changes in Risk Revisited," Journal of Economic Theory, Elsevier, vol. 66(2), pages 522-535, August.
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