Impact d'un accroissement de l'aversion pour le risque sur la combinaison d'actifs risqués. Glissades, petits sauts et grands plongeons

Jean-Pascal Gayant

Revue économique, 2005, vol. 56, issue 4, 889-902

Abstract: In this paper, we compare the impact of increasing risk aversion on the combination of risky assets, in the Expected Utility model and in the Dual Theory (Yaari [1987]). We exhibit, by an example, that a decision maker in the Dual Theory may, not only plunge from one asset to another, but also jump from a unique asset to a diversified portfolio, or even jump from a diversified portfolio to another. We also show that the decision maker may, definitely, combine his portfolio so as to maximize its minimum return, up to a given degree of risk aversion. Classification JEL : D81

JEL-codes: D81 (search for similar items in EconPapers)
Date: 2005
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