Generalised mean-risk preferences

DOI10.1016/J.JET.2016.11.004MaRDI QIDQ508379zbMATH OpenOpenAlexFDO

Authors Daniel Schoch

Publication date 10 February 2017

Published in Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jet.2016.11.004

zbMATH Keywords

CAPMcoherent risk measuresdeviation measuresmean-risk preferences

Mathematics Subject Classification ID

Individual preferences (91B08) Portfolio theory (91G10)

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Cites work

• scientific article; zbMATH DE number 4002273 (Why is no real title available?)
• scientific article; zbMATH DE number 1190543 (Why is no real title available?)
• scientific article; zbMATH DE number 1119424 (Why is no real title available?)
• scientific article; zbMATH DE number 1462363 (Why is no real title available?)
• scientific article; zbMATH DE number 1869272 (Why is no real title available?)
• Coherent measures of risk
• Generalized deviations in risk analysis
• Modifying the mean-variance approach to avoid violations of stochastic dominance
• Prospect theory. For risk and ambiguity.
• Variance aversion implies \(\mu-\sigma^ 2\)-criterion

Cited in

(4)

• Generalized Expected Utility Analysis of Multivariate Risk Aversion
• Global identification of risk preferences with revealed preference data
• Preference under risk in the presence of indistinguishable probabilities
• Subjective mean-variance preferences without expected utility

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