A model of comparative statics for changes in stochastic returns with dependent risky assets

DOI10.1007/BF00057865zbMath0867.90039MaRDI QIDQ2564617

Christian Gollier, Georges Dionne

Publication date: 15 January 1997

Published in: Journal of Risk and Uncertainty (Search for Journal in Brave)

zbMATH Keywords

linear stochastic dominance

Mathematics Subject Classification ID

Related Items (5)

A model for the optimal selection of lenders ⋮ General Stochastic Dominance Rules ⋮ Stochastic dominance and optimal portfolio ⋮ Rank-Dependent Utility and Risk Taking in Complete Markets ⋮ Comparative statics predictions for the cross-effects of central dominance changes in risk with quasilinear payoffs

Cites Work

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• Deductible insurance and production: A comment
• The comparative statics of changes in risk revisited
• Demand for risky assets and the monotone probability ratio order
• The Effects of Shifts in a Return Distribution on Optimal Portfolios
• Strong Increases in Risk and Their Comparative Statics
• Some Results on Comparative Statics under Uncertainty
• Optimal Portfolios with One Safe and One Risky Asset: Effects of Changes in Rate of Return and Risk
• Simplifying the Choice between Uncertain Prospects Where Preference is Nonlinear
• The Effect on Optimal Portfolios of Changing the Return to a Risky Asset: The Case of Dependent Risky Returns
• A Ratio Criterion for Signing the Effects of an Increase in Uncertainty
• A Theory of Debt and Equity: Diversity of Securities and Manager-Shareholder Congruence
• Increases in Risk and Linear Payoffs
• Mean-preserving Portfolio Dominance

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