Article ID: | iaor200969117 |
Country: | United States |
Volume: | 55 |
Issue: | 7 |
Start Page Number: | 1227 |
End Page Number: | 1236 |
Publication Date: | Jul 2009 |
Journal: | Management Science |
Authors: | Hollifield Burton, Kraus Alan |
Keywords: | risk |
We provide a random variable characterization of the necessary and sufficient conditions for a shift of the distribution of rate of return on the risky asset in the two-asset portfolio problem to reduce demand for all strictly risk-averse expected-utility-maximizing investors. We also provide random variable characterizations of the shifts that reduce both demand and expected utility for all strictly risk-averse investors.