| Article ID: | iaor1989539 |
| Country: | United States |
| Volume: | 14 |
| Issue: | 3 |
| Start Page Number: | 457 |
| End Page Number: | 461 |
| Publication Date: | Aug 1989 |
| Journal: | Mathematics of Operations Research |
| Authors: | Xu Gan-Lin |
| Keywords: | financial |
In a market with one stock and one bond, a risk averse agent would normally follow the principle of holding a positive amount of stock if and only if its mean rate of return is strictly larger than the interest rate of the bond. The paper provides an example to show that in the latter case it may be optimal not to invest in the stock.