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 variable characterizations of the shifts that reduce both demand and expected utility for all strictly risk-averse investors.

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Year of publication:	2009
Authors:	Hollifield, Burton ; Kraus, Alan
Published in:	Management Science. - Institute for Operations Research and the Management Sciences - INFORMS, ISSN 0025-1909. - Vol. 55.2009, 7, p. 1227-1236
Publisher:	Institute for Operations Research and the Management Sciences - INFORMS
Subject:	portfolio theory \| random variables \| decreasing demand \| stochastic dominance

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Extent:	application/pdf
Type of publication:	Article
Other identifiers:	10.1287/mnsc.1090.1011 [DOI]
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009204023