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

DOI10.2307/2527223zbMATH Open0891.90014OpenAlexW2086586195MaRDI QIDQ4375451FDOQ4375451

Stratford Douglas, Douglas W. Mitchell

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

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zbMATH Keywords

stochastic dependence

Mathematics Subject Classification ID

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

Cited In (5)

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

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