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- W1684652302 abstract "In this paper, we consider the composition of an optimal portfolio made of two dependent risky assets. The investor is assumed to be a risk-averse and prudent expected utility max- imizer. We first study the conditions under which all these investors hold at least some percentage of their portfolio in one of the assets. As a byproduct we obtain conditions such that a risk-averse and prudent decision maker holds either a positive quantity of one of the assets or a proportion greater than (i.e. the 50% rule). These questions had been examined so far in the literature with no assumption beyond that of risk aversion." @default.
- W1684652302 created "2016-06-24" @default.
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- W1684652302 date "2014-01-01" @default.
- W1684652302 modified "2023-09-27" @default.
- W1684652302 title "Prudence, Diversification and Optimal Portfolios" @default.
- W1684652302 hasPublicationYear "2014" @default.
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