Financial Giffen Goods: Examples and Counterexamples

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    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.
    Original languageEnglish
    JournalEuropean Journal of Operational Research
    Volume191
    Issue number2
    Pages (from-to)571-575
    ISSN0377-2217
    DOIs
    Publication statusPublished - 2008

    Keywords

    • Mortgage Financing
    • Giffen good
    • Portfolio choice

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