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A Model of Comparative Statics for Changes in Stochastic Returns with Dependent Risky Assets

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  • DIONNE, Georges
  • GOLLIER, Christian

Abstract

In this paper we show how the order of Linear Stochastic Dominance proposed by Gollier (1995) can be applied to situations with dependent risky assets.
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Suggested Citation

  • DIONNE, Georges & GOLLIER, Christian, 1995. "A Model of Comparative Statics for Changes in Stochastic Returns with Dependent Risky Assets," Cahiers de recherche 9560, Universite de Montreal, Departement de sciences economiques.
    • Handle: RePEc:mtl:montde:9560
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    File URL: http://hdl.handle.net/1866/2002
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    Cited by:

    1. Dachraoui, K. & Dionne, G., 1998. "Portfolio Response to a Shift in a Return Distribution: Comment," Ecole des Hautes Etudes Commerciales de Montreal- 98-08, Ecole des Hautes Etudes Commerciales de Montreal-Chaire de gestion des risques..
    2. Anissa Chaibi & Maria-Lenuta Ciupac-Ulici & Mircea-Cristian Gherman, 2014. "Do Recent Stochastic Tools Help to Better Understand Investors Preference and Asset Allocation?," Working Papers 2014-130, Department of Research, Ipag Business School.
    3. Inmaculada Rodríguez-Puerta & Alberto A. Álvarez-López, 2022. "A model for the optimal selection of lenders," Annals of Operations Research, Springer, vol. 313(2), pages 1269-1284, June.
    4. Burton Hollifield & Alan Kraus, 2009. "Defining Bad News: Changes in Return Distributions That Decrease Risky Asset Demand," Management Science, INFORMS, vol. 55(7), pages 1227-1236, July.
    5. Amigues, Jean-Pierre & Favard, Pascal & Gaudet, Gerard & Moreaux, Michel, 1998. "On the Optimal Order of Natural Resource Use When the Capacity of the Inexhaustible Substitute Is Limited," Journal of Economic Theory, Elsevier, vol. 80(1), pages 153-170, May.
    6. Choi, Gyemyung & Kim, Iltae & Snow, Arthur, 2000. "Comparative statics predictions for the cross-effects of central dominance changes in risk with quasilinear payoffs," Economics Letters, Elsevier, vol. 66(1), pages 41-48, January.
    7. Dachraoui, Kais & Dionne, Georges, 2001. "Stochastic dominance and optimal portfolio," Economics Letters, Elsevier, vol. 71(3), pages 347-354, June.
    8. Gollier Christian & Schlee Edward E, 2006. "Increased Risk-Bearing with Background Risk," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 6(1), pages 1-31, March.

    More about this item

    JEL classification:

    • D8 - Microeconomics - - Information, Knowledge, and Uncertainty
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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