Increases in risk and demand for risky asset

n this paper, we examine the effect of a decrease in risk on the demand for risky asset in the standard portfolio problem. We introduce a new class of dominance, that we name relative order and we prove that this class of dominance is consistent both with central dominance introduced by Gollier [5] and with mean preserving increase in risk. Finally, we show that some known classes of dominance are particular cases of our new class of dominance.

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Year of publication:	2005-04
Authors:	Chateauneuf, Alain ; Lakhnati, Ghizlane
Institutions:	HAL
Subject:	EU model \| portfolio choice \| mean preserving increase in risk \| central dominance \| relative simple dominance \| relative dominance

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Extent:	application/pdf
Series:	Post-Print.
Type of publication:	Book / Working Paper
Notes:	View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00194413
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010750618