Increases in risk and demand for risky asset
Alain Chateauneuf () and
Ghizlane Lakhnati ()
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Ghizlane Lakhnati: CERMSEM - CEntre de Recherche en Mathématiques, Statistique et Économie Mathématique - UP1 - Université Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL
n this paper, we examine the effect of a decrease in risk on the demand for risky asset in the standard portfolio problem. We introduce a new class of dominance, that we name relative order and we prove that this class of dominance is consistent both with central dominance introduced by Gollier  and with mean preserving increase in risk. Finally, we show that some known classes of dominance are particular cases of our new class of dominance.
Keywords: Modèle EU; choix de portefeuille; MPIR; dominance centrale; dominance simple relative; dominance relative.; relative dominance; EU model; portfolio choice; mean preserving increase in risk; central dominance; relative simple dominance; relative dominance. (search for similar items in EconPapers)
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Published in 2005
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Journal Article: Increases in risk and demand for a risky asset (2015)
Working Paper: Increases in risk and demand for a risky asset (2015)
Working Paper: Increases In Risk and Demand for Risky Asset (2014)
Working Paper: Increases in risk and demand for risky asset (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:cesptp:halshs-00194413
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