Mean-risk analysis with enhanced behavioral content
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Cites work
- scientific article; zbMATH DE number 3342731 (Why is no real title available?)
- "Expected Utility" Analysis without the Independence Axiom
- A Standard Measure of Risk and Risk-Value Models
- A single-parameter generalization of the Gini indices of inequality
- Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
- Coherent measures of risk
- Conditional value at risk and related linear programming models for portfolio optimization
- Convex measures of risk and trading constraints
- Disappointment and Dynamic Consistency in Choice under Uncertainty
- Disappointment in Decision Making Under Uncertainty
- Disappointment without prior expectation: a unifying perspective on decision under risk
- Dual Stochastic Dominance and Related Mean-Risk Models
- First order versus second order risk aversion
- From stochastic dominance to mean-risk models: Semideviations as risk measures
- Gains from diversification on convex combinations: a majorization and stochastic dominance approach
- Generalized deviations in risk analysis
- LP solvable models for portfolio optimization: a classification and computational comparison
- Le Comportement de l'Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l'Ecole Americaine
- On an Extension of the Gini Inequality Index
- On extending the LP computable risk measures to account downside risk
- Optimal insurance without expected utility: The dual theory and the linearity of insurance contracts
- Prospect Theory: An Analysis of Decision under Risk
- Relative risk-value models
- Risk Aversion in the Small and in the Large
- Risk, Return, and Utility
- Risk-value models
- Risk-value models: restrictions and applications
- Satisficing Measures for Analysis of Risky Positions
- Stochastic Dominance and Expected Utility: Survey and Analysis
- Stochastic dominance and mean-variance measures of profit and loss for business planning and investment
- Stochastic dominance and risk measure: a decision-theoretic foundation for VaR and C-VaR
- The Dual Theory of Choice under Risk
- The no-trade interval of Dow and Werlang: some clarifications
- Uncertainty Aversion, Risk Aversion, and the Optimal Choice of Portfolio
Cited in
(8)- A second-generation disappointment aversion theory of decision making under risk
- scientific article; zbMATH DE number 3976683 (Why is no real title available?)
- Risk measures from risk-reducing experiments
- Portfolio selection with robust estimators considering behavioral biases in a causal network
- Portfolio optimization with disutility-based risk measure
- Behavioral mean-variance portfolio selection
- Basic geometric dispersion theory of decision making under risk: asymmetric risk relativity, new predictions of empirical behaviors, and risk triad
- Modifying the mean-variance approach to avoid violations of stochastic dominance
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