axiomatic model of risk-averse preferences, where decision makers are assumed to possess an expected utility function and the … proposed by Markowitz (1952), is very intuitive and reduces the portfolio choice to a set of two criteria, reward and risk …, with possible tradeoff analysis. Usually the reward-risk model is not consistent with the first approach, even when the …

This work gives a brief overview of the portfolio selection problem following the mean-risk approach first proposed by … Markowitz (1952). We consider various risk measures, i.e. variance, value-at-risk and expected-shortfall and we study the … that returns are normally distributed, the efficient frontiers obtained by taking value-at-risk or expected-shortfall are …

This paper presents an axiomatic model of probabilistic choice under risk. In this model, when it comes to choosing one …

theory such as the fourfold pattern of risk attitudes, the discrepancy between certainty equivalent and probability …

Economic research offers two traditional ways of analyzing decision making under risk. One option is to compare the …