Abstract
In this paper we study a single-period optimal portfolio problem in which the aim of the
investor is to maximize the expected utility. We assume that the return of every security
in the market is a mixture of some common underlying source of risks. A sufficient
condition to order the optimal allocations is obtained, and it is shown that several models
studied in the literature before are special cases of the proposed model. In the course of
the analysis concepts in stochastic orders are employed, and a new characterization of
the likelihood ratio order is obtained.
investor is to maximize the expected utility. We assume that the return of every security
in the market is a mixture of some common underlying source of risks. A sufficient
condition to order the optimal allocations is obtained, and it is shown that several models
studied in the literature before are special cases of the proposed model. In the course of
the analysis concepts in stochastic orders are employed, and a new characterization of
the likelihood ratio order is obtained.
| Original language | English |
|---|---|
| Pages (from-to) | 55-66 |
| Journal | Journal of Applied Probability |
| Volume | 45 |
| Issue number | 1 |
| DOIs | |
| Publication status | Published - 2008 |
| Externally published | Yes |