Portfolio Response to a Shift in a Return Distribution: Comment
K. Dachraoui and
Working Papers from Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor.
In this paper we show how a shift in a return distribution affects the composition of an optimal portfolio in the case of one riskless asset and two risky assets. We obtain that, in general, such a shift modifies the composition of themutual fund. We also show that the separating conditions presented in the finance literature for the setting of the optimal portfolios, are not robust to the comparative statics following distributional shifts if we want to obtain intuitive results.
Keywords: FINANCIAL ASSETS; INFORMATION; RISK (search for similar items in EconPapers)
JEL-codes: D80 (search for similar items in EconPapers)
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Working Paper: Portfolio response to a shift in a return distribution: comment (1998)
Working Paper: Portfolio Response to a Shift in a Return Distribution: Comment (1998)
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Persistent link: https://EconPapers.repec.org/RePEc:fth:pnegmi:9821
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