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 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.

• 저널Management Science · 55(7) · 1227–1236
• 토픽Economic theories and models · Economics and Econometrics
• DOI10.1287/mnsc.1090.1011
• 저자Burton Hollifield, Alan Kraus