English, Article edition: Comparative statics and optimal portfolios Jean Fernand Nguema

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/8885
Physical Description
  • article
Language
  • English

Edition details

Title
  • Comparative statics and optimal portfolios
Author
  • Jean Fernand Nguema
Physical Description
  • article
Notes
  • Purpose – Following Hadar and Seo, the paper aims to determine, in the case of a portfolio with three assets, the condition of preservation of comparative statics results under which a change in risk increases the optimal value of the decision variables for all risk-averse investors. Design/​methodology/​approach – Using the first- and second-order conditions, the paper examines a theoretical approach of a particular portfolio problem in two stages. The first step considers the case of dependence between assets where the second extends previous results in the case of dependence between assets. Findings – It is found that even in the case of portfolio with two risky assets and one risk less asset that an FDS or an MPC deterioration that affects either the distribution will increase the weight of this asset in the optimal fund for all decision makers whose preferences exhibit decreasing absolute risk aversion. Originality/​value – The paper extends the previous study in the case of dependence between assets and examines portfolio with more than two assets.
  • Assets, Portfolio investment, Risk assessment, Stochastic processes
  • RePEc:eme:jrfpps:v:7:y:2006:i:4:p:415-424
Language
  • English
Contributed by
OAIster

Get this edition

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment