Mean-Variance Preferences and Investor Behaviour  

Oleh:

Ormiston, Michael B. ; Schlee, Edward E.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Economic Journal (EBSCO) vol. 111 no. 474 (2001), page 849-861.
Topik: investor; mean - variance preference; investor behaviour
Fulltext: 849.pdf (214.11KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: EE28.5 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

Lihat Detail Induk

Isi artikel

We study the comparative statics implications of mean - variance preferences for optimal portfolios. Specifically, we show that all risk - averse mean - variance investors raise their investment in a risky asset in response to a change in that asset's return distribution if and only if the change lowers both the mean and standard deviation of the return by the same percentage. Besides being of interest in its own right, our results allow us to compare some comparative statics implications and the expected utility and mean - variance models systematically.

Opini Anda

Klik untuk menuliskan opini Anda tentang koleksi ini!

Kembali