Financial Giffen Goods

Rolf Poulsen and Kourosh Marjani Rasmussen
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Rolf Poulsen: Institute for Mathematical Sciences, University of Copenhagen
Kourosh Marjani Rasmussen: Technical University of Denmark

No 2005/06, FRU Working Papers from University of Copenhagen. Department of Economics. Finance Research Unit

Abstract: In the basic mean/variance framework, a stock's weight in effcient portfolios goes up if its expected rate of return goes up. In more complicated, realistic portfolio choice problems, surprising effects can occur.

Pages: 7 pages
Date: 2005-06
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