Defining Bad News: Changes in Return Distributions That Decrease Risky Asset Demand

Burton Hollifield () and Alan Kraus ()
Additional contact information
Alan Kraus: Sauder School of Business, University of British Columbia, Vancouver, British Columbia V6T 1Z2, Canada

Management Science, 2009, vol. 55, issue 7, 1227-1236

Abstract: We provide a random variable characterization of the necessary and sufficient conditions for a shift of the distribution of rate of return on the risky asset in the two-asset portfolio problem to reduce demand for all strictly risk-averse expected-utility-maximizing investors. We also provide random variable characterizations of the shifts that reduce both demand and expected utility for all strictly risk-averse investors.

Keywords: portfolio theory; random variables; decreasing demand; stochastic dominance (search for similar items in EconPapers)
Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://dx.doi.org/10.1287/mnsc.1090.1011 (application/pdf)

Related works:
Working Paper: Defining bad news: Changes in return distribution that decrease risky asset demand
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:inm:ormnsc:v:55:y:2009:i:7:p:1227-1236

Access Statistics for this article

More articles in Management Science from INFORMS Contact information at EDIRC.
Bibliographic data for series maintained by Chris Asher ().