Decreasing Risk Aversion and Mean-Variance Analysis
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Recommendations
- Decreasing downside risk aversion and background risk
- Broadly decreasing risk aversion
- Increasing risk, decreasing absolute risk aversion and diversification
- Downside risk aversion vs decreasing absolute risk aversion: an intuitive exposition
- Decreasing higher-order absolute risk aversion and higher-degree stochastic dominance
- Decreasing Absolute Risk Aversion and Option Pricing Bounds
- Decreasing ross risk aversion: higher-order generalizations and implications
- Incremental risk aversion and diversification preference
- Restricted increases in risk aversion and their application
- Multiple risks and mean-variance preferences
Cited in
(22)- Global measures of risk aversion
- Is mean-variance analysis applicable to hedge funds?
- Partial derivatives, comparative risk behavior and concavity of utility functions.
- A new foundation for the mean-variance analysis
- Increasing risk, decreasing absolute risk aversion and diversification
- Equilibrium investment and reinsurance strategies under smooth ambiguity with a general second-order distribution
- Portfolio selection and duality under mean variance preferences
- Convex and decreasing absolute risk aversion is proper
- Subjective mean-variance preferences without expected utility
- The value of a probability forecast from portfolio theory
- A two-parameter model of dispersion aversion
- Investment strategies and compensation of a mean-variance optimizing fund manager
- Mean-risk rule and compatibility with expected utility rule
- Broadly decreasing risk aversion
- Defining Bad News: Changes in Return Distributions That Decrease Risky Asset Demand
- Decreasing ross risk aversion: higher-order generalizations and implications
- On the statistical foundations of nonlinear utility theory: the case of status quo-dependent preferences.
- Portfolio allocation and asset demand with mean-variance preferences
- Increases in skewness and three-moment preferences
- Mean variance preferences and the heat equation
- Tempering effects of (dependent) background risks: a mean-variance analysis of portfolio selection
- Mean-variance utility
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