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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

Abstract: 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 [5] 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)
Date: 2005-04
Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00194413
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Published in 2005

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Related works:
Journal Article: Increases in risk and demand for a risky asset (2015) Downloads
Working Paper: Increases in risk and demand for a risky asset (2015)
Working Paper: Increases In Risk and Demand for Risky Asset (2014) Downloads
Working Paper: Increases in risk and demand for risky asset (2005) Downloads
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