The Effects of Shifts in a Return Distribution on Optimal Portfolios
研究当风险资产收益分布发生随机占优变化时，风险规避投资者是否必然增加对该资产的投资，并给出了效用函数的充要条件。
When the distribution of the returns of a risky asset undergoes a stochastically dominating shift, a risk-averse investor may not necessarily increase the investment in that asset. This paper provides restrictions on the investor's utility function that are necessary and sufficient for a dominating shift to bring about no decrease in the investment in the respective asset if there are two risky assets in the portfolio. These conditions are also necessary if there are n > 2 assets, and are necessary and sufficient if the utility function exhibits constant absolute risk aversion. Copyright 1990 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.