Knowledge that Transforms

Morton I. Kamien, Nancy L. Schwartz; Cournot Oligopoly With Uncertain Entry12, The Review of Economic Studies, Volume 42, Issue 1, 1 January 1975, Pages 125–131

Journal Article Strategic Voting Without Collusion Under Binary and Democratic Group Decision Rules Get access Prasanta K. Pattanaik Prasanta K. Pattanaik Delhi School of Economics Search for other works by this author on: Oxford Academic Google Scholar The Review of Economic Studies, Volume 42, Issue 1, January 1975, Pages 93–103, https://doi.org/10.2307/2296823 Published: 01 January 1975

Jean-Michel Grandmont, Guy Laroque; On Money and Banking12, The Review of Economic Studies, Volume 42, Issue 2, 1 April 1975, Pages 207–236, https://doi.or

Journal Article Uncertainty and the Heterogeneous Capital Good Model Get access Stephen A. Ross Stephen A. Ross University of Pennsylvania Search for other works by this author on: Oxford Academic Google Scholar The Review of Economic Studies, Volume 42, Issue 1, January 1975, Pages 133–146, https://doi.org/10.2307/2296827 Published: 01 January 1975

unify these various approaches. We establish under what conditions a system of fixed charges exists to decentralize the optimal pattern of production (or club membership), characterize that system of charges and explore the relationship between the form of the common cost function and the optimal pattern of activities. More precisely, we show that in the absence of consumption externalities, and allowing part-time clubs,

Journal Article On Stochastic Models of Size Distributions Get access A. F. Shorrocks A. F. Shorrocks London School of Economics Search for other works by this author on: Oxford Academic Google Scholar The Review of Economic Studies, Volume 42, Issue 4, October 1975, Pages 631–641, https://doi.org/10.2307/2296800 Published: 01 October 1975

Duncan K. Foley, Martin F. Hellwig; Asset Management with Trading Uncertainty12, The Review of Economic Studies, Volume 42, Issue 3, 1 July 1975, Pages 327

Consider an investor who has a certain amount of wealth to invest in a riskless security and several risky securities. The investor's optimal portfolio will depend on his attitudes towards risk, his wealth and the probability distribution of the security returns. An interesting question to ask is how the investor's optimal portfolio is affected by changes in his wealth, given that all other things remain constant. For example, does the total amount invested in risky securities increase as wealth increases? Does the proportion of wealth invested in risky securities decrease as wealth increases? Questions such as these have been investigated by Arrow [1, Chapter 3] in the case of one riskless security and one risky security. Arrow showed that if the investor's von Neumann-Morgenstern utility function exhibits decreasing absolute risk aversion and increasing relative risk aversion, the amount invested in the risky security is an increasing function of wealth and the proportion of wealth invested in the risky security is a decreasing function of wealth. More recently, Cass and Stiglitz [3] have shown that Arrow's results do not generalize to the case of many risky securities. They give an example where an investor who can purchase one riskless security and two risky securities invests a greater proportion of his wealth in the two risky securities when his wealth increases, even though his utility function exhibits increasing relative risk aversion. Cass and Stiglitz note, however, that Arrow's results do generalize for an important, if highly restrictive, class of utility functions-those for which the mix of risky securities in the investor's optimal portfolio is independent of the investor's wealth for all probability distributions of security returns. Such utility functions are said to possess the separation property. The purpose of this paper is to prove that the separation property is a necessary condition as well as a sufficient condition for the generalization of Arrow's results to the case of many risky securities. We will show that given more than one risky security and a utility function which does not possess the separation property, it is always possible to pick probability distributions for the returns of the risky securities so that the directions of change which Arrow established for the single risky security case are reversed; that is, for some probability distributions of security returns, the total amount invested in risky securities decreases as wealth increases, and for other probability distributions of security returns, the proportion of wealth invested in risky securities increases as wealth increases. In fact, we will show that there always exist probability distributions of security returns such that the amount (proportion of wealth) invested in every risky security decreases (increases) as wealth increases. It should be emphasized, moreover, that this is the case

Journal Article On a Generalization of Tinbergen's Condition in the Theory of Policy to Dynamic Models Get access Masanao Aoki Masanao Aoki University of California, Los Angeles Search for other works by this author on: Oxford Academic Google Scholar The Review of Economic Studies, Volume 42, Issue 2, April 1975, Pages 293–296, https://doi.org/10.2307/2296537 Published: 01 April 1975

Journal Article Non-existence of Equilibrium for the Two-dimensional Three-firms Location Problem Get access A. Shared A. Shared Nuffield College, Oxford Search for other works by this author on: Oxford Academic Google Scholar The Review of Economic Studies, Volume 42, Issue 1, January 1975, Pages 51–56, https://doi.org/10.2307/2296818 Published: 01 January 1975