THE EFFECT OF OPTIMAL PORTFOLIOS OF CHANGING THE RETURN TO A RISKY ASSET - THE CASE OF DEPENDENT RISKY RETURNS

被引：20
|
作者：
MEYER, J [1 ]
ORMISTON, MB [1 ]
机构：
[1] ARIZONA STATE UNIV,TEMPE,AZ 85287
来源：
INTERNATIONAL ECONOMIC REVIEW | 1994年 / 35卷 / 03期
关键词：
D O I：
10.2307/2527076
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
When the return to a risky asset is altered an investor's optimal portfolio is likely to change. In working out the details of these changes for expected utility maximizing investors previous research has focused on portfolios composed of one risky and one riskless asset or two independent risky assets. This research considers portfolios where the risky returns can be stochastically dependent. Existing comparative static theorems are extended to the case of dependent risky returns with the independence assumption replaced by weaker restrictions.
引用
收藏
页码：603 / 612
页数：10
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