Financial Giffen goods: Examples and counterexamples
نویسندگان
چکیده
In the basic Markowitz and Merton models, a stock’s weight in efficient portfolios goes up if its expected rate of return goes up. Put differently, there are no financial Giffen goods. By an example from mortgage choice we illustrate that for more complicated portfolio problems Giffen effects do occur.
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ورودعنوان ژورنال:
- European Journal of Operational Research
دوره 191 شماره
صفحات -
تاریخ انتشار 2008