A NOTE ON PORTFOLIO DOMINANCE

Authors
GOLLIER C
Citation
C. Gollier, A NOTE ON PORTFOLIO DOMINANCE, Review of Economic Studies, 64(1), 1997, pp. 147-150
Citations number
5
Categorie Soggetti
Economics
Journal title
Review of Economic Studies → ACNP
ISSN journal
00346527
Volume
64
Issue
1
Year of publication
1997
Pages
147 - 150
Database
ISI
SICI code
0034-6527(1997)64:1<147:ANOPD>2.0.ZU;2-G
Abstract
In the standard portfolio problem, a shift in the distribution of the risky asset is ''portfolio-dominated'' if it reduces the demand for th e risky asset by all risk-averse agents, irrespective of the risk-free rate. We show that the condition obtained by Landsberger and Meilijso n (1993), while necessary, is not sufficient for portfolio dominance a nd we present an exact necessary and sufficient condition.