Asset diversification in Yaari's dual theory

This paper presents an application of the dual theory of choice under uncertainty to the problem of asset diversification. It is shown that when there are two or more risky assets, conditions which are sufficient for expected-utility maximizers to diversify among n assets, are also sufficient for du...

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Veröffentlicht in:	European economic review 1995-06, Vol.39 (6), p.1171-1180
Hauptverfasser:	Hadar, Josef, Seo, Tae Kun
Format:	Artikel
Sprache:	eng
Schlagworte:	Asset allocation Asset diversification Assets Decision making models Diversification Dual theory of choice Dualistic economy Economic theory Economics Negative interdependence Portfolio management Risk aversion Utility functions
Online-Zugang:	Volltext
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