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Defining bad news: Changes in return distribution that decrease risky asset demand

Hollifield, Burton; Kraus, Alan - Carnegie Mellon University, Tepper School of Business

We provide a random variable characterization of the necessary and sufficient conditions for a shift of the distribution of rate of return on the risky asset in the two asset portfolio problem to reduce demand for all risk--averse expected utility maximizing investors. We provide random variable...

Persistent link: https://www.econbiz.de/10005027564

A State-Preference Model of Optimal Financial Leverage.

Kraus, Alan; Litzenberger, Robert H - In: Journal of Finance 28 (1973) 4, pp. 911-22

Persistent link: https://www.econbiz.de/10005686944

Market Equilibrium in a Multiperiod State Preference Model with Logarithmic Utility.

Kraus, Alan; Litzenberger, Robert H - In: Journal of Finance 30 (1975) 5, pp. 1213-27

Persistent link: https://www.econbiz.de/10005687006

Skewness Preference and the Valuation of Risk Assets.

Kraus, Alan; Litzenberger, Robert H - In: Journal of Finance 31 (1976) 4, pp. 1085-1100

Persistent link: https://www.econbiz.de/10005691089

The Determination of Fair Profits for the Property-Liability Insurance Firm.

Kraus, Alan; Ross, Stephen A - In: Journal of Finance 37 (1982) 4, pp. 1015-28

Persistent link: https://www.econbiz.de/10005691377

Allocational Efficiency of Security Markets under Uncertainty: Discussion.

Kraus, Alan - In: Journal of Finance 31 (1976) 2, pp. 602-04

Persistent link: https://www.econbiz.de/10005691392

New Tests of the APT and Their Implications: Discussion.

Kraus, Alan - In: Journal of Finance 40 (1985) 3, pp. 674-75

Persistent link: https://www.econbiz.de/10005691466

Business Finance and Capital Market Theory: Discussion.

Kraus, Alan - In: Journal of Finance 32 (1977) 2, pp. 304-05

Persistent link: https://www.econbiz.de/10005691595

Price Impacts of Block Trading on the New York Stock Exchange.

Kraus, Alan; Stoll, Hans R - In: Journal of Finance 27 (1972) 3, pp. 569-88

Persistent link: https://www.econbiz.de/10005691658

Market Created Risk.

Kraus, Alan; Smith, Maxwell - In: Journal of Finance 44 (1989) 3, pp. 557-69

Persistent link: https://www.econbiz.de/10005691911

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