PORTFOLIO RESPONSE TO A SHIFT IN A RETURN DISTRIBUTION - THE CASE OF N-DEPENDENT ASSETS

Authors
MITCHELL DW DOUGLAS SM
Citation
Dw. Mitchell et Sm. Douglas, PORTFOLIO RESPONSE TO A SHIFT IN A RETURN DISTRIBUTION - THE CASE OF N-DEPENDENT ASSETS, International economic review, 38(4), 1997, pp. 945-950
Citations number
4
Categorie Soggetti
Economics
Journal title
International economic review → ACNP
ISSN journal
00206598
Volume
38
Issue
4
Year of publication
1997
Pages
945 - 950
Database
ISI
SICI code
0020-6598(1997)38:4<945:PRTASI>2.0.ZU;2-N
Abstract
Recent papers have shown utility function conditions that are sufficie nt, in a two-asset context with or without stochastic dependence, for a conditional first-order stochastically dominating shift (or a condit ional mean-preserving contraction) of one asset's return distribution never to result in a decline in holdings of that asset. The present pa per shows that these conditions are sufficient even when there are an arbitrary number of assets.