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Indexing gamble desirability by extending proportional stochastic dominance

Hellman, Ziv; Schreiber, Amnon - In: Games and economic behavior 109 (2018), pp. 523-543

Persistent link: https://www.econbiz.de/10012173241

How does background risk affect portfolio choice : an analysis based on uncertain mean-variance model with background risk

Huang, Xiaoxia; Yang, Tingting - In: Journal of banking & finance 111 (2020), pp. 1-14

Persistent link: https://www.econbiz.de/10012221072

Multivariate risk aversion utility, application to ESG investments

Escobar, Marcos - In: The North American journal of economics and finance : a … 63 (2022), pp. 1-8

Persistent link: https://www.econbiz.de/10014225740

Portfolio Inertia Under Ambiguity

Asano, Takao - 2004

We consider individual's portfolio selection problems. Introducing the concept of ambiguity, we show the existence of portfolio inertia under the assumptions that decision maker's beliefs are captured by an inner measure, and that her preferences are represented by the Choquet integral with...

Persistent link: https://www.econbiz.de/10014070834

It's Stochastic Dominance and Probabilistic Expected Utility Theory, Silly : Loss Aversion (a Concave Risk Premium Function) is Necessary Condition for Rationality of Risk Seeking...

Obrimah, Oghenovo A. - 2022

marginal utility for wealth necessarily is facilitated by a risk premium function that only robustly is parameterized with … reference to `relative safety', as opposed to `relative riskiness' of assets, a risk premium function that then explicitly is …). Robustness of the finding is evident in arrival at a parameterization of loss aversion (a concave risk premium function) that is …

Persistent link: https://www.econbiz.de/10013297649

A critical look at the Aumann-Serrano and Foster-Hart measures of riskiness

Chew, Soo-Hong; Sagi, Jacob Shimon - In: Economic theory 74 (2022) 2, pp. 397-422

Persistent link: https://www.econbiz.de/10013442043

Optimal auctions : non-expected utility and constant risk aversion

Gershkov, Alex; Moldovanu, Benny; Strack, Philipp; … - In: The review of economic studies : RES 89 (2022) 5, pp. 2630-2662

Persistent link: https://www.econbiz.de/10013400098

Diversification and risk attitudes toward two risks

Kit, Pong Wong - In: Journal of mathematical economics 102 (2022), pp. 1-11

Persistent link: https://www.econbiz.de/10013539467

Risk aversion over finite domains

Baccelli, Jean; Schollmeyer, Georg; Jansen, Christoph - In: Theory and decision : an international journal for … 93 (2022) 2, pp. 371-397

Persistent link: https://www.econbiz.de/10013460870

Comparing utility derivative premia under additive and multiplicative risks

Heinzel, Christoph - In: Insurance / Mathematics & economics 111 (2023), pp. 23-40

Persistent link: https://www.econbiz.de/10014316660