Increases in risk and demand for risky asset
Alain Chateauneuf () and
Ghizlane Lakhnati ()
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Ghizlane Lakhnati: CERMSEM, http://cermsem.univ-paris1.fr
Cahiers de la Maison des Sciences Economiques from Université Panthéon-Sorbonne (Paris 1)
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  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 in risk; central dominance; relative simple dominance; relative dominance (search for similar items in EconPapers)
JEL-codes: D80 G11 (search for similar items in EconPapers)
Pages: 13 pages
New Economics Papers: this item is included in nep-rmg
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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:mse:wpsorb:b05033
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