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...

Ausführliche Beschreibung

Bibliographische Detailangaben
Veröffentlicht in:	Management Science. - Institute for Operations Research and the Management Sciences, 1954. - 55(2009), 7, Seite 1227-1236
1. Verfasser:	Hollifield, Burton (VerfasserIn)
Weitere Verfasser:	Kraus, Alan
Format:	Online-Aufsatz
Sprache:	English
Veröffentlicht:	2009
Zugriff auf das übergeordnete Werk:	Management Science
Schlagworte:	portfolio theory random variables decreasing demand stochastic dominance Mathematics Economics Philosophy


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245	1	0	\|a Defining Bad News: Changes in Return Distributions That Decrease Risky Asset Demand
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520			\|a 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 variable characterizations of the shifts that reduce both demand and expected utility for all strictly risk-averse investors.
540			\|a Copyright 2009 United States of America
650		4	\|a portfolio theory
650		4	\|a random variables
650		4	\|a decreasing demand
650		4	\|a stochastic dominance
650		4	\|a Mathematics \|x Pure mathematics \|x Probability theory \|x Random variables
650		4	\|a Economics \|x Economic disciplines \|x Financial economics \|x Finance \|x Financial investments \|x Investors
650		4	\|a Economics \|x Economic disciplines \|x Financial economics \|x Finance \|x Financial investments \|x Investment returns \|x Investment return rates
650		4	\|a Economics \|x Microeconomics \|x Economic utility \|x Expected utility
650		4	\|a Philosophy \|x Logic \|x Metalogic \|x Logical truth \|x Sufficient conditions
650		4	\|a Mathematics \|x Applied mathematics \|x Statistics \|x Applied statistics \|x Descriptive statistics \|x Statistical distributions \|x Distribution functions
650		4	\|a Mathematics \|x Applied mathematics \|x Statistics \|x Applied statistics \|x Descriptive statistics \|x Statistical distributions \|x Distribution functions \|x Probability distributions
650		4	\|a Economics \|x Economic disciplines \|x Financial economics \|x Finance \|x Financial management \|x Financial risk \|x Investment risk
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650		4	\|a Mathematics \|x Pure mathematics \|x Probability theory \|x Random variables
650		4	\|a Economics \|x Economic disciplines \|x Financial economics \|x Finance \|x Financial investments \|x Investors
650		4	\|a Economics \|x Economic disciplines \|x Financial economics \|x Finance \|x Financial investments \|x Investment returns \|x Investment return rates
650		4	\|a Economics \|x Microeconomics \|x Economic utility \|x Expected utility
650		4	\|a Philosophy \|x Logic \|x Metalogic \|x Logical truth \|x Sufficient conditions
650		4	\|a Mathematics \|x Applied mathematics \|x Statistics \|x Applied statistics \|x Descriptive statistics \|x Statistical distributions \|x Distribution functions
650		4	\|a Mathematics \|x Applied mathematics \|x Statistics \|x Applied statistics \|x Descriptive statistics \|x Statistical distributions \|x Distribution functions \|x Probability distributions
650		4	\|a Economics \|x Economic disciplines \|x Financial economics \|x Finance \|x Financial management \|x Financial risk \|x Investment risk
650		4	\|a Mathematics \|x Mathematical values \|x Mathematical variables \|x Mathematical independent variables
650		4	\|a Mathematics \|x Applied mathematics \|x Management science
655		4	\|a research-article
700	1		\|a Kraus, Alan \|e verfasserin \|4 aut
773	0	8	\|i Enthalten in \|t Management Science \|d Institute for Operations Research and the Management Sciences, 1954 \|g 55(2009), 7, Seite 1227-1236 \|w (DE-627)320623602 \|w (DE-600)2023019-9 \|x 15265501 \|7 nnns
773	1	8	\|g volume:55 \|g year:2009 \|g number:7 \|g pages:1227-1236
856	4	0	\|u https://www.jstor.org/stable/40539208 \|3 Volltext
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952			\|d 55 \|j 2009 \|e 7 \|h 1227-1236