The Monotonicity of Asset Prices with Changes in Risk
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.
|Date of creation:||May 2005|
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- 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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- Harris Schlesinger & Christian Gollier, 2001.
"Changes in Risk and Asset Prices,"
CESifo Working Paper Series
443, CESifo Group Munich.
- Christian Gollier, 2004. "The Economics of Risk and Time," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262572249.
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