Demand for risky financial assets: A portfolio analysis

DOI10.1016/0022-0531(90)90092-XzbMath0723.90006MaRDI QIDQ2276854

Michael Landsberger, Isaac Meilijson

Publication date: 1990

Published in: Journal of Economic Theory (Search for Journal in Brave)

zbMATH Keywords

portfoliorisky financial assets

Mathematics Subject Classification ID

Related Items (27)

Comparative impatience under random discounting ⋮ Arrangement increasing resource allocation ⋮ Demand for risky assets and the monotone probability ratio order ⋮ The preservation of multivariate comparative statics in nonexpected utility theory ⋮ Economic choice in generalized expected utility theory ⋮ On allocations to portfolios of assets with statistically dependent potential risk returns ⋮ On Abel's concept of doubt and pessimism ⋮ Joint stochastic orders of high degrees and their applications in portfolio selections ⋮ Optimal Dynamic Reinsurance Under Heterogeneous Beliefs and CARA Utility ⋮ The LeChatelier principle for changes in risk ⋮ Behavioral biases and the representative agent ⋮ Comparative statics tests between decision models under risk ⋮ The Subclasses of First-Degree Stochastic Dominance (FSD) Shifts and Their Comparative Statics ⋮ Some Relationships Among FSD Shifts and R-S Increases in Risk ⋮ A note on allocation of portfolio shares of random assets with Archimedean copula ⋮ Collective risk aversion ⋮ Pessimistic portfolio choice with one safe and one risky asset and right monotone probability difference order ⋮ Convex orders for linear combinations of random variables ⋮ Portfolio choice under noisy asset returns ⋮ Ordering optimal proportions in the asset allocation problem with dependent default risks ⋮ Optimal portfolio problem with unknown dependency structure ⋮ Portfolio allocation problems between risky and ambiguous assets ⋮ Single machine scheduling with stochastically dependent times ⋮ Permutation Monotone Functions of Random Vectors with Applications in Financial and Actuarial Risk Management ⋮ PORTFOLIO SELECTION PROBLEMS VIA THE BIVARIATE CHARACTERIZATION OF STOCHASTIC DOMINANCE RELATIONS ⋮ Notions of multivariate dependence and their applications in optimal portfolio selections with dependent risks ⋮ Production decisions in case of monotone likelihood ratio shifts of cumulative distribution functions

Cites Work

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• The preservation of likelihood ratio ordering under convolution
• Distributions Possessing a Monotone Likelihood Ratio
• The Ross Characterization of Risk Aversion: Strengthening and Extension
• Asset Proportions in Optimal Portfolios
• Some Results on Comparative Statics under Uncertainty
• Some Stronger Measures of Risk Aversion in the Small and the Large with Applications
• Optimal Portfolios with One Safe and One Risky Asset: Effects of Changes in Rate of Return and Risk

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