Almost expectation and excess dependence notions

DOI10.1007/S11238-014-9476-6zbMath1378.91113OpenAlexW2074380025MaRDI QIDQ893027

Larry Y. Tzeng, Rachel J. Huang, Michel M. Denuit

Publication date: 13 November 2015

Published in: Theory and Decision (Search for Journal in Brave)

Full work available at URL: https://cdn.uclouvain.be/public/Exports%20reddot/stat/documents/DP2013_05_denuit_almost.pdf

zbMATH Keywords

diversificationportfolio theorybackground riskoptimal investmentalmost stochastic dominance

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Portfolio theory (91G10)

Related Items (9)

Risk aversion with two risks: a theoretical extension ⋮ Confidence band for expectation dependence with applications ⋮ Validation of positive expectation dependence ⋮ Fractional-degree expectation dependence ⋮ Preserving the Rothschild-Stiglitz type increase in risk with background risk: a characterization ⋮ Testing for positive expectation dependence ⋮ Risk aversion, prudence, and asset allocation: a review and some new developments ⋮ Risk reducers in convex order ⋮ Comparative risk aversion with two risks

Cites Work

• Correlated risks, bivariate utility and optimal choices
• The demand for a risky asset in the presence of a background risk
• Expectation dependence of random variables, with an application in portfolio theory
• Monotonic dependence functions of bivariate distributions
• Extremal generators and extremal distributions for the continuous \(s\)-convex stochastic orderings
• A note on almost stochastic dominance
• Preferred by “All” and Preferred by “Most” Decision Makers: Almost Stochastic Dominance
• Asset Proportions in Optimal Portfolios
• Multivariate Risk Aversion, Utility Independence and Separable Utility Functions

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