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- W2024074010 abstract "The literature exhibits a dearth of comparative static results for n-asset portfolios. This paper shows a necessary and sufficient condition on utility functions for an increase in initial wealth never to decrease expected per-dollar final wealth in optimal n-asset portfolios. For the resulting utility function class the literature provides a measure of relative risk of portfolios; it is shown here that relative risk never decreases in optimal n-asset portfolios as initial wealth rises." @default.
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- W2024074010 date "2002-01-01" @default.
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- W2024074010 title "Increasingly mean-seeking utility functions and n-asset portfolios" @default.
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- W2024074010 doi "https://doi.org/10.1016/s1062-9769(02)00157-6" @default.
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