A Note on Portfolio Dominance

Christian Gollier ()

The Review of Economic Studies, 1997, vol. 64, issue 1, 147-150

Abstract: In the standard portfolio problem, a shift in the distribution of the risky asset is "portfolio-dominated" if it reduces the demand for the risky asset by all risk-averse agents, irrespective of the risk-free rate. We show that the condition obtained by Landsberger and Meilijson (1993), while necessary, is not sufficient for portfolio dominance and we present an exact necessary and sufficient condition.

Date: 1997
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