Portfolio Response to a Shift in a Return Distribution: The Case of n- Dependent Assets

DOI10.2307/2527223MaRDI QIDQ4375451zbMATH OpenOpenAlexFDO

Authors Douglas W. Mitchell, Stratford Douglas

Publication date 5 February 1998

Published in International Economic Review (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/2527223

zbMATH Keywords

stochastic dependence

Mathematics Subject Classification ID

Utility theory (91B16) Portfolio theory (91G10)

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Cited in

(6)

• Expectation dependence of random variables, with an application in portfolio theory
• Capacity choice in a two-stage problem under uncertainty
• Portfolio selection and duality under mean variance preferences
• The Effects of Shifts in a Return Distribution on Optimal Portfolios
• The Effect on Optimal Portfolios of Changing the Return to a Risky Asset: The Case of Dependent Risky Returns
• A Note on Portfolio Dominance

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