Mean-risk analysis of risk aversion and wealth effects on optimal portfolios with multiple investment opportunities
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Publication:1313151
DOI10.1007/BF02282046zbMATH Open0785.90012MaRDI QIDQ1313151FDOQ1313151
Authors: Masaaki Kijima, Masamitsu Ohnishi 
Publication date: 9 February 1994
Published in: Annals of Operations Research (Search for Journal in Brave)
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Cited In (27)
- Characterizations of Optimal Portfolios by Univariate and Multivariate Risk Aversion
- Risk measures from risk-reducing experiments
- More possessions, more worry
- Risk aversion and portfolio selection in a continuous-time model
- Mini-Batch Risk Forms
- Global portfolio construction with emphasis on conflicting corporate strategies to maximize stockholder wealth
- Portfolio Choices in the Presence of Other Risks
- Equilibria in the capital market with non-homogeneous investors
- Asset Proportions in Optimal Portfolios
- Two-stage portfolio optimization with higher-order conditional measures of risk
- Statistical estimation of composite risk functionals and risk optimization problems
- Portfolio selection and duality under mean variance preferences
- PORTFOLIO SELECTION PROBLEMS VIA THE BIVARIATE CHARACTERIZATION OF STOCHASTIC DOMINANCE RELATIONS
- Sufficient conditions under which SSD- and MR-efficient sets are identical
- A MEAN-VARIANCE-SKEWNESS MODEL: ALGORITHM AND APPLICATIONS
- Increasing risk aversion and life-cycle investing
- Equilibrium relations in a capital asset market: A mean absolute deviation approach
- Increasing risk, decreasing absolute risk aversion and diversification
- Investment decisions when utility depends on wealth and other attributes
- On the foundation of performance measures under asymmetric returns
- Risk preferences on the space of quantile functions
- On risk evaluation and control of distributed multi-agent systems
- The comparative statics on asset prices based on bull and bear market measure
- Risk forms: representation, disintegration, and application to partially observable two-stage systems
- Time-coherent risk measures for continuous-time Markov chains
- Kusuoka representation of higher order dual risk measures
- An enhanced model for portfolio choice with SSD criteria: a constructive approach
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