Stochastic dominance on optimal portfolio with one risk-less and two risky assets

Jean Fernand Nguema ()
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Jean Fernand Nguema: LAMETA UFR Sciences Economiques Montpellier

Economics Bulletin, 2005, vol. 7, issue 7, 1-7

Abstract: The paper provides restrictions on the investor's utility function which are sufficient for a dominating shift no decrease in the investment in the respective asset if there are one risk free asset and two risky assets in the portfolio. The analysis is then confined to portfolio in which the distributions of assets differ by a first-degree-stochastic dominance shift.

Keywords: financial; portfolio (search for similar items in EconPapers)
JEL-codes: D8 G1 (search for similar items in EconPapers)
Date: 2005-07-25
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Citations: View citations in EconPapers (1)

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