Optimal Financial Portfolio and Dependence of Risky Assets.

In this note we analyze the hedging property of an optimal portfolio with one risk-free asset and two risky assets. We make a restriction on the dependence between the two risky assets and show that the sign of the covariance is necessary and sufficient to set the relative investments in the two risky assets of the portfolio for all concave utility functions.

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Year of publication:	2000
Authors:	Dachraoui, K. ; Dionne, G.
Institutions:	HEC Montréal (École des Hautes Études Commerciales)
Subject:	RISK \| INVESTMENTS \| UUTILITY FUNCTIONS

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Series:	Ecole des Hautes Etudes Commerciales de Montreal-.
Type of publication:	Book / Working Paper
Notes:	11 pages
Classification:	G24 - Investment Banking; Venture Capital; Brokerage ; G11 - Portfolio Choice
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005474681