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Comparative Statics and Asset Substitutability/Complementarity in a Portfolio Model: A Dual Approach

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  • Ardeshir J. Dalal

Abstract

This article uses a dual approach to investigate the properties of an n-asset portfolio model. The indirect expected utility and expenditure functions are used to provide an extremely simple derivation of Slutsky equations by obtaining results similar to Roy's Identity and Shephard's Lemma. The substitutability/complementarity relations among assets are investigated, and a number of empirically testable implications are deduced from the properties of the expenditure function.

Suggested Citation

  • Ardeshir J. Dalal, 1983. "Comparative Statics and Asset Substitutability/Complementarity in a Portfolio Model: A Dual Approach," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 50(2), pages 355-367.
    • Handle: RePEc:oup:restud:v:50:y:1983:i:2:p:355-367.
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    File URL: http://hdl.handle.net/10.2307/2297421
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    Cited by:

    1. Marks, Joseph M. & Nam, Kiseok, 2018. "Intertemporal risk-return tradeoff in the short-run," Economics Letters, Elsevier, vol. 172(C), pages 81-84.
    2. Alghalith, Moawia, 2010. "Preferences estimation without approximation," European Journal of Operational Research, Elsevier, vol. 207(2), pages 1144-1146, December.
    3. Osman Kilic & Joseph M. Marks & Kiseok Nam, 2022. "Predictable asset price dynamics, risk-return tradeoff, and investor behavior," Review of Quantitative Finance and Accounting, Springer, vol. 59(2), pages 749-791, August.
    4. Perraudin, William R. M. & Sorensen, Bent E., 2000. "The demand for risky assets: Sample selection and household portfolios," Journal of Econometrics, Elsevier, vol. 97(1), pages 117-144, July.
    5. Holmes, Marionette & Park, Timothy A., 2001. "Modeling Financial Asset Demands Of Small Agribusiness Firms: A Portfolio Theory Approach," 2001 Annual meeting, August 5-8, Chicago, IL 20461, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    6. Eichner, Thomas, 2011. "Portfolio selection and duality under mean variance preferences," Insurance: Mathematics and Economics, Elsevier, vol. 48(1), pages 146-152, January.
    7. Arshanapalli, Bala G. & Gupta, Omprakash K., 1996. "Optimal hedging under output price uncertainty," European Journal of Operational Research, Elsevier, vol. 95(3), pages 522-536, December.
    8. Schmidt, Martin B., 2021. "Risk and uncertainty in team building: Evidence from a professional basketball market," Journal of Economic Behavior & Organization, Elsevier, vol. 186(C), pages 735-753.
    9. Jean-Michel Courtault, 1992. "Les effets de substitution et de richesse de la théorie du portefeuille : une mise au point," Revue Économique, Programme National Persée, vol. 43(6), pages 983-1006.

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