Dybvig, Philip H.; Wang, Yajun - In: Journal of Economic Theory 147 (2012) 3, pp. 1222-1246
Oliver Hart proved the impossibility of deriving general comparative static properties in portfolio weights. Instead, we derive new comparative statics for the distribution of payoffs: A is less risk averse than B iff Aʼs payoff is always distributed as Bʼs payoff plus a non-negative random...