EconPapers    
Economics at your fingertips  
 

Portfolio Response to a Shift in a Return Distribution: Comment

K. Dachraoui and Georges Dionne

Working Papers from Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor.

Abstract: 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)
Date: 1998
References: Add references at CitEc
Citations: Track citations by RSS feed

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
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)
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:fth:pnegmi:9821

Access Statistics for this paper

More papers in Working Papers from Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor. THEMA, Universite de Paris X-Nanterre, U.F.R. de science economiques, gestion, mathematiques et informatique, 200, avenue de la Republique 92001 Nanterre CEDEX..
Bibliographic data for series maintained by Thomas Krichel ().

 
Page updated 2019-11-08
Handle: RePEc:fth:pnegmi:9821