Portfolio Response to a Shift in a Return Distribution: Comment

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 paper we show how a shift in a return distribution affects the composition of an optimal portfolio in the case of one riskless asset and two risky assets. We obtain that, in general, such a shift modifies the composition of the mutual fund. We also show that the separating conditions presented in the finance literature for the seting of the optimal portfolios, are not robust to the comparative statics following distributional shifts if we want to obtain intuitive results.

Keywords: RISK; FINANCIAL ASSETS (search for similar items in EconPapers)
JEL-codes: D80 (search for similar items in EconPapers)
Pages: 12 pages
Date: 1998
References: Add references at CitEc
Citations: View citations in EconPapers (1)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Working Paper: Portfolio response to a shift in a return distribution: comment (1998)
Working Paper: Portfolio Response to a Shift in a Return Distribution: Comment (1998)
Working Paper: Portfolio response to a shift in a return distribution: Comment (1998)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fth:etcori:98-08

Access Statistics for this paper

More papers in Ecole des Hautes Etudes Commerciales de Montreal- from Ecole des Hautes Etudes Commerciales de Montreal-Chaire de gestion des risques. Canada; ECOLE DES HAUTES ETUDES COMMERCIALES(H.E.C.),3000, chemin de la Cote-Sainte-Catherine. Montreal (Quebec) Canada H3T 2A7.. Contact information at EDIRC.
Bibliographic data for series maintained by Thomas Krichel ().