THE EFFECT OF OPTIMAL PORTFOLIOS OF CHANGING THE RETURN TO A RISKY ASSET - THE CASE OF DEPENDENT RISKY RETURNS

When the return to a risky asset is altered an investor's optimal port folio is likely to change. In working out the details of these changes for expected utility maximizing investors previous research has focus ed on portfolios composed of one risky and one riskless asset or two i ndependent risky assets. This research considers portfolios where the risky returns can be stochastically dependent. Existing comparative st atic theorems are extended to the case of dependent risky returns with the independence assumption replaced by weaker restrictions.