Mean-risk analysis of risk aversion and wealth effects on optimal portfolios with multiple investment opportunities

DOI10.1007/BF02282046zbMath0785.90012MaRDI QIDQ1313151

Masamitsu Ohnishi, Masaaki Kijima

Publication date: 9 February 1994

Published in: Annals of Operations Research (Search for Journal in Brave)

zbMATH Keywords

risk aversiondiversificationportfolio selectionmean-risk analysisaxiomatic way

Mathematics Subject Classification ID

Related Items (17)

Global portfolio construction with emphasis on conflicting corporate strategies to maximize stockholder wealth ⋮ Sufficient conditions under which SSD- and MR-efficient sets are identical ⋮ Statistical estimation of composite risk functionals and risk optimization problems ⋮ Time-Coherent Risk Measures for Continuous-Time Markov Chains ⋮ Risk forms: representation, disintegration, and application to partially observable two-stage systems ⋮ Mini-Batch Risk Forms ⋮ Kusuoka representation of higher order dual risk measures ⋮ Risk preferences on the space of quantile functions ⋮ Two-stage portfolio optimization with higher-order conditional measures of risk ⋮ Equilibria in the capital market with non-homogeneous investors ⋮ On the foundation of performance measures under asymmetric returns ⋮ An enhanced model for portfolio choice with SSD criteria: a constructive approach ⋮ Risk Measures from Risk-Reducing Experiments ⋮ Equilibrium relations in a capital asset market: A mean absolute deviation approach ⋮ A MEAN-VARIANCE-SKEWNESS MODEL: ALGORITHM AND APPLICATIONS ⋮ The comparative statics on asset prices based on bull and bear market measure ⋮ PORTFOLIO SELECTION PROBLEMS VIA THE BIVARIATE CHARACTERIZATION OF STOCHASTIC DOMINANCE RELATIONS

Cites Work

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• Risk Aversion in the Small and in the Large
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• Convex Analysis
• Ordered Families of Distributions

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