Optimal Financial Portfolio and Dependence of Risky Assets

K. Dachraoui and Georges Dionne ()

Ecole des Hautes Etudes Commerciales de Montreal- from Ecole des Hautes Etudes Commerciales de Montreal-Chaire de gestion des risques.

Abstract: In this note we analyze the hedging property of an optimal portfolio with one risk-free asset and two risky assets. We make a restriction on the dependence between the two risky assets and show that the sign of the covariance is necessary and sufficient to set the relative investments in the two risky assets of the portfolio for all concave utility functions.

Keywords: RISK; INVESTMENTS; UUTILITY FUNCTIONS (search for similar items in EconPapers)
JEL-codes: G11 G24 (search for similar items in EconPapers)
Pages: 11 pages
Date: 2000
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Citations: View citations in EconPapers (2)

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Related works:
Working Paper: Optimal Financial Portfolio and Dependence of Risky Assets (2000)
Working Paper: Optimal financial portfolio and dependence of risky assets (2000)
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Persistent link: https://EconPapers.repec.org/RePEc:fth:etcori:00-12

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