Fixed endpoint optimal control |
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Authors: | Frank Caliendo Saket Pande |
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Institution: | (1) Department of Economics, University of Siegen, Hoelderlinstraße 3, 57068 Siegen, Germany |
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Abstract: | Summary. Properness has been introduced in the expected utility framework and it recently has been transfered to mean-variance utility functions. Here, we show that properness implies the slope of the mean-standard deviation indifference curve being convex in the standard deviation. This indifference curve property allows us to characterize the comparative static effects of changing the background risk and dependency structure in a simple portfolio choice model.Received: 8 December 2003, Revised: 16 February 2004, JEL Classification Numbers:
D81. |
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Keywords: | Properness Mean-standard deviation Comparativestatics |
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