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An approximate solution for optimal portfolio in incomplete markets
Menoncin, Francesco - In: Mathematical control theory and finance, (pp. 293-310). 2008
Persistent link: https://www.econbiz.de/10003755883
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Linear tests for decreasing absolute risk aversion stochastic dominance
Post, Thierry; Fang, Yi; Kopa, Miloš - In: Management science : journal of the Institute for … 61 (2015) 7, pp. 1615-1629
Persistent link: https://www.econbiz.de/10011304114
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Does ambiguity matter? : estimating asset pricing models with a multiple-priors recursive utility
Jeong, Daehee; Kim, Hwagyun; Park, Joon Y. - In: Journal of financial economics 115 (2015) 2, pp. 361-382
Persistent link: https://www.econbiz.de/10011347485
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Smooth ambiguity aversion toward small risks and continuous-time recursive utility
Skiadas, Costis - In: Journal of political economy 121 (2013) 4, pp. 775-792
Persistent link: https://www.econbiz.de/10010246899
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Decreasing higher-order absolute risk aversion and higher-degree stochastic dominance
Denuit, Michel; Liu, Liqun - In: Theory and decision : an international journal for … 76 (2014) 2, pp. 287-295
Persistent link: https://www.econbiz.de/10010345255
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A note on almost stochastic dominance
Guo, Xu; Zhu, Xuehu; Wong, Wing Keung; Zhu, Lixing - In: Economics letters 121 (2013) 2, pp. 252-256
Persistent link: https://www.econbiz.de/10010347133
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Ambiguity in risk preferences in robust stochastic optimization
Haskell, William B.; Fu, Lunce; Dessouky, Maged - In: European journal of operational research : EJOR 254 (2016) 1, pp. 214-225
Persistent link: https://www.econbiz.de/10011503281
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A general optimal investment model in the presence of background risk
Alghalith, Moawia; Guo, Xu; Wong, Wing Keung; Zhu, Lixing - In: Annals of financial economics 11 (2016) 1, pp. 1-8
Persistent link: https://www.econbiz.de/10011503987
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"Stochastically more risk averse" : a contextual theory of stochastic discrete choice under risk
Wilcox, Nathaniel T. - In: Journal of econometrics 162 (2011) 1, pp. 89-104
Persistent link: https://www.econbiz.de/10009270696
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Stochastically independent randomization and uncertainty aversion
Klibanoff, Peter - In: Economic theory : official journal of the Society for … 18 (2001) 3, pp. 605-620
Persistent link: https://www.econbiz.de/10001614965