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Comparative Statics and Asset Substitutability/Complementarity in a Portfolio Model: A Dual Approach

Ardeshir J. Dalal

Northern Illinois University

Review of Economic Studies 1983

This article uses a dual approach to investigate the properties of an n-asset portfolio model. The indirect expected utility and expenditure functions are used to provide an extremely simple derivation of Slutsky equations by obtaining results similar to Roy's Identity and Shephard's Lemma. The substitutability/complementarity relations among assets are investigated, and a number of empirically testable implications are deduced from the properties of the expenditure function.

DOI
10.2307/2297421
Volume
50 (2)
Pages
355
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