Financial Giffen Goods: Examples and Counterexamples

12 Pages Posted: 5 Jun 2007

See all articles by Rolf Poulsen

Rolf Poulsen

University of Copenhagen - Department of Statistics and Operations Research

Kourosh Marjani Rasmussen

Technical University of Denmark

Date Written: June 5, 2007

Abstract

In the basic Markowitz and Merton models, a stock's weight in efficient portfolios goes up if its expected rate of return goes up. Put differently, there are no financial Giffen goods. By an example from mortgage choice we illustrate that for more complicated portfolio problems Giffen effects do occur.

Keywords: Finance, portfolio choice, Giffen good, mortgage planning

JEL Classification: G11

Suggested Citation

Poulsen, Rolf and Rasmussen, Kourosh Marjani, Financial Giffen Goods: Examples and Counterexamples (June 5, 2007). Available at SSRN: https://ssrn.com/abstract=991347 or http://dx.doi.org/10.2139/ssrn.991347

Rolf Poulsen (Contact Author)

University of Copenhagen - Department of Statistics and Operations Research ( email )

Universitetsparken 5
DK-2100
Denmark
+45 (353) 20685 (Phone)

Kourosh Marjani Rasmussen

Technical University of Denmark ( email )

Anker Engelunds Vej 1
Building 101A
Lyngby, 2800
Denmark

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