# Distributional Analysis of Portfolio Choice

@article{Dybvig1988DistributionalAO, title={Distributional Analysis of Portfolio Choice}, author={Philip H. Dybvig}, journal={The Journal of Business}, year={1988}, volume={61}, pages={369-393} }

Trading in a market is compared with receiving some particular consu mption bundle, given increasing state-independent preferences and complete markets. The analysis focuses on the distribution price of t he particular bundle. The distributional price is the price of the ch eapest utility-equivalent bundle sold in the market. The distribution al price is determined by the distribution functions of the outside b undle and the state price density. Simple portfolio performance measu res illustrate…

## 220 Citations

### The classification of parametric choices under uncertainty: analysis of the portfolio choice problem

- Economics
- 2001

This paper describes the admissible classes of parametric distribution functions of return portfolios and analyzes their consistency with the maximization of the expected utility. In particular, we…

### Heterogeneity of Investors and Asset Pricing on a Risk-Value World

- Economics
- 2002

Portfolio choice and the implied asset pricing are usually derived assuming maximization of expected utility. In this Paper, they are derived from risk-value models that generalize the…

### Equilibrium Pricing in Incomplete Markets

- Economics, MathematicsJournal of Financial and Quantitative Analysis
- 2005

Abstract Given the exogenous price process of some assets, we constrain the price process of other assets that are characterized by their final payoffs. We deal with an incomplete market framework in…

### Cost-efficiency in Incomplete Markets

- EconomicsSSRN Electronic Journal
- 2022

This paper studies the topic of cost-eﬃciency in incomplete markets. A portfolio payoﬀ is called cost-eﬃcient if it achieves a given probability distribution at some given investment horizon with a…

### Optimal contracts in portfolio delegation

- Economics
- 2006

The optimal contracts in portfolio delegation under general preferences are characterized when the underlying state variable is not contractible, and the principal must rely on the final returns of…

### Optimal contracts in portfolio delegation

- EconomicsMathematics and Financial Economics
- 2016

The optimal contracts in portfolio delegation under general preferences are characterized when the underlying state variable is not contractible, and the principal must rely on the final returns of…

### Co-monotonicity of optimal investments and the design of structured financial products

- EconomicsFinance Stochastics
- 2011

It is proved that, under very weak conditions, optimal financial products on complete markets are co-monotone with the reversed state price density and it is shown that optimal products can be written as monotonic functions of the market return.

### Replicating the Properties of Hedge Fund Returns

- Economics
- 2008

A multivariate extension of the Dybvig [1988] Payoff Distribution Model that can be used to replicate not only the marginal distribution of most hedge fund returns but also their dependence on other asset classes is implemented.

### Quasi Mean Reversion in an Efficient Stock Market: The Characterisation of Economic Equilibria which Support Black-Scholes Option Pricing

- Economics
- 1993

This paper is concerned with the behavior of the risk premium on the market portfolio of risky assets. The paper provides a characterization of the evolution of the market risk prem ium in economies…

## References

SHOWING 1-10 OF 11 REFERENCES

### Mean-Variance Theory in Complete Markets

- Economics
- 1982

Two paradigms in the pricing of risky assets are the "complete markets" model of Arrow and Debreu and mean-variance pricing as embodied in the capital asset pricing model (CAPM). The former is…

### Inefficient Dynamic Portfolio Strategies or How to Throw Away a Million Dollars in the Stock Market

- Economics, Business
- 1988

A number of portfolio strategies followed by practitioners are dominated because they are incompletely diversified over time. The Payoff Distribution Pricing Model is used to compute the cost of…

### The Analytics of Performance Measurement Using a Security Market Line

- Economics
- 1985

Security market line (SML) analysis, while an important tool, has never been fully justified from a theoretical standpoint. Assuming symmetric information and an inefficient index, we show that SML…

### Differential Information and Performance Measurement Using a Security Market Line

- Computer Science
- 1985

The intuitive explanation of deviations from the SML has motivated many and the validity of this intuition is explored and the question of what SML deviations really measure is explored.

### Ordering Uncertain Options with Borrowing and Lending

- Economics
- 1978

STOCHASTIC DOMINANCE CRITERIA for decision making under uncertainty have been developed and discussed by Quirk and Saposnik [29], Fishburn [4], [5], Levy [16], [18], [19], [20], Hadar and Russell…

### Empirical Processes with Applications to Statistics

- Mathematics
- 1987

Here is the first book to summarize a broad cross-section of the large volume of literature available on one-dimensional empirical processes. Presented is a thorough treatment of the theory of…