Defining Bad News: Changes in Return Distributions That Decrease Risky Asset Demand
We provide a random variable characterization of the necessary and sufficient conditions for a shift of the distribution of rate of return on the risky asset in the two-asset portfolio problem to reduce demand for all strictly risk-averse expected-utility-maximizing investors. We also provide random...
| Veröffentlicht in: | Management Science. in. - Institute for Operations Research and the Management Sciences, 1954. - 55(2009), 7, Seite 1227-1236 |
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| Format: | Online-Aufsatz |
| Sprache: | English |
| Veröffentlicht: |
2009
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| Zugriff auf das übergeordnete Werk: | Management Science. in |
| Schlagworte: | portfolio theory random variables decreasing demand stochastic dominance Mathematics Economics Philosophy |
| Online verfügbar |
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