Events
Event

DEM Research Seminar with Ulf VON LILIENFELD-TOAL (University of Luxembourg)

  • Location

    Weicker Building

    4 rue Alphonse Weicker

    2721, Luxembourg, Luxembourg

  • Topic(s)
    Economics & Management
  • Type(s)
    Free of charge, In-person event, Lectures and seminars

Monotone Comparative Statics in Multi-Asset Portfolio Choice

Abstract

Arrow (1965) and Pratt (1964) laid the bedrock of portfolio theory by showing how risk aversion governs portfolio choice with one risky and one safe asset. Extending these insights to two risky assets proved elusive: Cass and Stiglitz (1972) and Hart (1975) showed that almost any portfolio response is possible, leaving a long-standing gap in our understanding. This paper closes that gap. It explains several empirical facts that are difficult to reconcile within the mean–variance framework. Mean–variance analysis is nested as a special case.

About the speaker
  • Prof Ulf VON LILIENFELD-TOAL

    Prof Ulf VON LILIENFELD-TOAL

    FDEF
    Full professor in Financial Economics
    Learn more
Language

English

This is a free seminar. Registration is mandatory.

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