Implications of constant risk aversion
From MaRDI portal
Publication:3920947
DOI10.1007/BF01917173zbMath0467.90004MaRDI QIDQ3920947
Publication date: 1981
Published in: Zeitschrift für Operations Research (Search for Journal in Brave)
constant risk aversionportfolio selectionaxiomatic foundationrisk premiumssyndicatescapital market theorypessimistic maximum criterionvalues of information
Related Items (10)
Random sampling within the framework of a multivariate principal-agent approach ⋮ Symmetric QP and linear programming under primal-dual uncertainty ⋮ Duality and equilibrium prices in economics of uncertainty ⋮ Entropic risk measures and their comparative statics in portfolio selection: coherence vs. convexity ⋮ Portfolio theory for the recourse certainty equivalent maximizing investor ⋮ A recourse certainty equivalent for decisions under uncertainty ⋮ Consistency between principal and agent with differing time horizons: computing incentives under risk ⋮ AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT ⋮ Repräsentative Informationen in linearen Systemen ⋮ Der Wert von Renditeprognosen für Anlageentscheidungen
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Entscheidungen bei unvollständiger Information
- The Introduction of Risk into a Programming Model
- Risikominimierung bei der Portfolioplanung unter besonderer Berücksichtigung singulärer Kovarianzmatrizen
- Parametric certainty equivalence procedures in decision-making under uncertainty
- Note—A Delegation Process for Combining Individual Utility Functions
- Simplifying the Choice between Uncertain Prospects Where Preference is Nonlinear
- Risk Aversion in the Small and in the Large
- Optimal Entrepreneurial Decisions in a Completely Stochastic Environment
- What is the Laplace Transform?
This page was built for publication: Implications of constant risk aversion
