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. Copyright 1994 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.
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Article provided by Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association in its journal International Economic Review.
Volume (Year): 35 (1994) Issue (Month): 3 (August) Pages: 603-12 Download reference. The following formats are available: HTML
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