Portfolio allocation and asset demand with mean-variance preferences

Publikation: Beitrag in FachzeitschriftArtikelForschungPeer-Review

Autorschaft

  • Thomas Eichner
  • Andreas Wagener

Organisationseinheiten

Externe Organisationen

  • FernUniversität in Hagen
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Details

OriginalspracheEnglisch
Seiten (von - bis)179-193
Seitenumfang15
FachzeitschriftTheory and decision
Jahrgang70
Ausgabenummer2
Frühes Online-Datum7 Mai 2010
PublikationsstatusVeröffentlicht - Feb. 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 provided.

ASJC Scopus Sachgebiete

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Portfolio allocation and asset demand with mean-variance preferences. / Eichner, Thomas; Wagener, Andreas.
in: Theory and decision, Jahrgang 70, Nr. 2, 02.2011, S. 179-193.

Publikation: Beitrag in FachzeitschriftArtikelForschungPeer-Review

Eichner T, Wagener A. Portfolio allocation and asset demand with mean-variance preferences. Theory and decision. 2011 Feb;70(2):179-193. Epub 2010 Mai 7. doi: 10.1007/s11238-010-9217-4
Eichner, Thomas ; Wagener, Andreas. / Portfolio allocation and asset demand with mean-variance preferences. in: Theory and decision. 2011 ; Jahrgang 70, Nr. 2. S. 179-193.
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