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Portfolio allocation and asset demand with mean-variance preferences
Theory and Decision 70 (2):179-193 (2011)
Abstract
We analyze the comparative static effects of changes in the means, the standard deviations and the covariance of asset returns in a standard portfolio selection problem when investors have mean variance preferences. Simple and intuitive characterizations in terms of the elasticity of risk aversion are providedMy notes
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References found in this work
Expectation dependence of random variables, with an application in portfolio theory.Randall Wright - 1987 - Theory and Decision 22 (2):111-124.
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