Asset Proportions in Optimal Portfolios
研究风险规避投资者在最优投资组合中，某项资产比例不低于给定值的条件，并分析了资产分布存在一阶随机占优或均值保持变动时的投资比例。
The paper is concerned with conditions under which the proportion of a given asset in the optimal portfolio of a risk averse agent is at least as large as some given proportion. The paper provides a condition that is necessary and sufficient for such a result to hold. The analysis is then confined to portfolios in which the distributions of assets differ by either a first-degree stochastic dominance shift or by a mean-preserving shift. Examples are provided to show that under some conditions a risk averter may invest a smaller proportion of his wealth in the dominating asset than in the dominated asset. The paper then provides conditions that are necessary and sufficient for a risk averter to invest more in the dominating asset.