The Effect on Optimal Portfolios of Changing the Return to a Risky Asset: The Case of Dependent Risky Returns
研究当风险资产收益变化时，投资者最优投资组合如何调整，将现有比较静态定理从风险收益独立情形推广到相依情形，用更弱的条件替代独立性假设。
When the return to a risky asset is altered an investor's optimal portfolio is likely to change. In working out the details of these changes for expected utility maximizing investors previous research has focused on portfolios composed of one risky and one riskless asset or two independent risky assets. This research considers portfolios where the risky returns can be stochastically dependent. Existing comparative static theorems are extended to the case of dependent risky returns with the independence assumption replaced by weaker restrictions. An investor's optimal portfolio is likely to change when the return to a risky asset is altered. In working out the details of these changes for expected utility maximizing investors most research has focused on portfolios composed of one risky and one riskless asset. Recently, Hadar and Seo (1990) extend and generalize this literature by considering portfolios containing more than one risky asset. They assume, however, that the risky returns are independently distributed. This research focuses on removing this independence restriction, allowing the risky returns to be stochastically dependents Two implications of Hadar and Seo's independence restriction play an important role in their analysis. First, independence allows one risky return to be altered without changing the marginal or the conditional cumulative distribution functions (CDF) for the others. Hadar and Seo make this their ceteris paribus assumption. Second, when the return to a risky asset is independent of other risky returns, the marginal and each of the conditional CDFs for that return can be changed in exactly the same way. Hadar and Seo assume this when they require the risky returns to be independent both before and after one return is altered. An assumption replacing each of these implications of independence is needed in