Increases in Risk and Optimal Portfolio

Georges Dionne (), F. Gagnon and K. Dachraoui

Working Papers from Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor.

Abstract: We study the effect of riskiness on optimal portfolio. As discussed by Levy (1992), the main drawback of the standard model witg ine decision variable and one risky asset developed over the last twenty-five years, following the contributions of Rothschild and Stiglitz (1970,1971) and Hadar and Russell (1969), is in the area of finance since thios framework is not appropiate to study portfolio diversification. Our purpose is to answer the following question: How a mean preserving spread on the returns ofa given asset affect the composition of an optimal portfolio with two risky assets and one riskless asset?

Keywords: ECONOMETRICS; RISK (search for similar items in EconPapers)
JEL-codes: D81 G11 (search for similar items in EconPapers)
Pages: 34 pages
Date: 1997
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: Increases in risk and optimal portfolio (1998)
Working Paper: Increases in risk and optimal portfolio (1997)
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:pnegmi:9729

Access Statistics for this paper

More papers in Working Papers from Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor. THEMA, Universite de Paris X-Nanterre, U.F.R. de science economiques, gestion, mathematiques et informatique, 200, avenue de la Republique 92001 Nanterre CEDEX..
Bibliographic data for series maintained by Thomas Krichel ().