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Increases In Risk and Demand for Risky Asset

Alain Chateauneuf () and G.Lakhnati

No 2014-600, Working Papers from Department of Research, Ipag Business School

Abstract: In this paper, we examine the e ect 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 (1995) and with mean preserving in- crease in risk. Finally, we show that some known classes of dominance are particular cases of our new class of dominance.

Keywords: Central Dominance; EU Model; Mean Preserving Increase in Risk; Port- folio Choice; Relative Simple Dominance; Relative Dominance. (search for similar items in EconPapers)
JEL-codes: D80 D81 (search for similar items in EconPapers)
Pages: 13 pages
Date: 2014-01-01
New Economics Papers: this item is included in nep-ore and nep-upt
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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 (2005) Downloads
Working Paper: Increases in risk and demand for risky asset (2005) Downloads
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