Financial Giffen goods: Examples and counterexamples

Rolf Poulsen and Kourosh Marjani Rasmussen

European Journal of Operational Research, 2008, vol. 191, issue 2, pages 572-576

Abstract: In the basic Markowitz and Merton models, a stock's weight in efficient portfolios goes up if its expected rate of return goes up. Put differently, there are no financial Giffen goods. By an example from mortgage choice we illustrate that for more complicated portfolio problems Giffen effects do occur.

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European Journal of Operational Research is edited by Roman Slowinski, Jesus Artalejo, Jean-Charles. Billaut, Robert Dyson and Lorenzo Peccati

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