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 Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique

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Abstract: In 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: EU Model; Portfolio Choice; Mean Preserving Increase inRisk; Central Dominance; Relative Simple Dominance; Relative Dominance; Modèle EU; Choix de portefeuille; MPIR; Dominance Centrale; Dominance Simple Relative; Dominance Relative (search for similar items in EconPapers)
Date: 2005-04
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00194413
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Published in 2005

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Working Paper: Increases in risk and demand for risky asset (2005)
Working Paper: Increases in risk and demand for risky asset (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00194413

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