axiomatic model of risk-averse preferences, where decision makers areassumed to possess an expected utility function and the …

Starting from the reward-risk model for portfolio selection introduced in De Giorgi (2004), we derive the reward-risk … Capital Asset Pricing Model (CAPM) analogously to the classical mean-variance CAPM. The reward-risk portfolio selection arises … froman axiomatic definition of reward and risk measures based on few basic principles, including consistency with second …

dependencebetween her risk aversion and the distribution of the optimal terminalpayo. Economic intuition suggests that high risk … aversion leads to arather concentrated distribution, whereas lower risk aversion results ina higher average payo at the expense … turned into a rigorous mathematical statementin one-period models. More specically, they show that lower risk aversionleads …