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…
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