Increases In Risk and Demand for Risky Asset

In this paper, we examine the eect 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 (1995) and with mean preserving in- crease 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:	2014-09-29
Authors:	Chateauneuf, A. ; Lakhnati, G.
Institutions:	Institut de Préparation à l'Administration et à la Gestion (IPAG)
Subject:	Central Dominance \| EU Model \| Mean Preserving Increase in Risk \| Port- folio Choice \| Relative Simple Dominance \| Relative Dominance

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 2014-600 13 pages
Classification:	D80 - Information and Uncertainty. General ; D81 - Criteria for Decision-Making under Risk and Uncertainty
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010929409