In his 1984 paper in Management Science, McEntire conjectured that all concave utility functions satisfy his independence-from-irrelevant-assets (IIA) property. This paper shows that this conjecture is false. The paper provides several families of utility functions, all of whose members violate...

This paper provides a necessary and sufficient condition for the proportion of a given asset in the optimal portfolio to be a t least as large as some given proportion. The analysis is then confi ned to portfolios in which the distributions of assets differ by a fi rst-degree stochastic...

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...

This paper is an extension of Jack Meyer's paper titled “Beneficial Changes in Random Variables Under Multiple Sources of Risk and Their Comparative Statics†published in the June 1992 issue of this journal. The extension consists of showing which of the sufficient conditions in...

This article shows that if Ross's definition of riskier is replaced by a more traditional definition, such as a mean-preserving spread or second-degree stochastic dominance, then the application of Ross's stronger measure of risk aversion to the portfolio problem may no longer produce the...