Defining Bad News: Changes in Return Distributions that Induce a Decrease in Asset Demand∗
نویسندگان
چکیده
We present 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 risk–averse expected utility maximizing investors. We also present a random variable characterization of the shifts that lead to both a reduction in demand and a non–increase in expected utility for all strictly risk–averse investors, and a random variable characterization of the shifts that lead to a reduction in demand and an increase in expected utility for some risk–averse investor.
منابع مشابه
Defining Bad News: Changes in Return Distributions That Decrease Risky Asset Demand
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 risk–averse expected utility maximizing investors. We provide random variable characterizations of the shifts that reduce both demand and expected utility for all risk–averse inve...
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