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Increases in risk and optimal portfolio

Author

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  • G. Dionne
  • F. Gagnon
  • K. Dachraoui

Abstract

We study the effect of riskiness on optimal portfolio. As discussed by Levy (1992), the main drawback of the standard model witg ine decision variable and one risky asset developed over the last twenty-five years, following the contributions of Rothschild and Stiglitz (1970,1971) and Hadar and Russell (1969), is in the area of finance since thios framework is not appropiate to study portfolio diversification. Our purpose is to answer the following question: How a mean preserving spread on the returns ofa given asset affect the composition of an optimal portfolio with two risky assets and one riskless asset?
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Suggested Citation

  • G. Dionne & F. Gagnon & K. Dachraoui, 1997. "Increases in risk and optimal portfolio," THEMA Working Papers 97-29, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    • Handle: RePEc:ema:worpap:97-29
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    Cited by:

    1. Dionne, Georges & Harrington, Scott, 2017. "Insurance and Insurance Markets," Working Papers 17-2, HEC Montreal, Canada Research Chair in Risk Management.

    More about this item

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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