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Increases in risk and demand for risky asset

Alain Chateauneuf () and Ghizlane Lakhnati ()
Additional contact information
Ghizlane Lakhnati: CERMSEM, http://cermsem.univ-paris1.fr

Cahiers de la Maison des Sciences Economiques from Université Panthéon-Sorbonne (Paris 1)

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 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
Date: 2005-04
New Economics Papers: this item is included in nep-rmg
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ftp://mse.univ-paris1.fr/pub/mse/cahiers2005/B05033.pdf (application/pdf)

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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Persistent link: https://EconPapers.repec.org/RePEc:mse:wpsorb:b05033

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