Mean-risk analysis of risk aversion and wealth effects on optimal portfolios with multiple investment opportunities
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Publication:1313151
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Cites work
- scientific article; zbMATH DE number 3852171 (Why is no real title available?)
- scientific article; zbMATH DE number 3434940 (Why is no real title available?)
- scientific article; zbMATH DE number 3348831 (Why is no real title available?)
- scientific article; zbMATH DE number 3084669 (Why is no real title available?)
- scientific article; zbMATH DE number 3090543 (Why is no real title available?)
- Characterizations of Optimal Portfolios by Univariate and Multivariate Risk Aversion
- Choosing Between Risky Prospects: The Characterization of Comparative Statics Results, and Location Independent Risk
- Comparison of Alternative Utility Functions in Portfolio Selection Problems
- Convex Analysis
- Optimal Portfolios with One Safe and One Risky Asset: Effects of Changes in Rate of Return and Risk
- Ordered Families of Distributions
- PIECEWISE LINEAR RISK FUNCTION AND PORTFOLIO OPTIMIZATION
- Portfolio Theory for Independent Assets
- Risk Aversion and the Choice Between Risky Prospects: The Preservation of Comparative Statics Results
- Risk Aversion in the Small and in the Large
- Stochastic Dominance and Expected Utility: Survey and Analysis
- The Demand for a Risky Asset
- The Efficiency Analysis of Choices Involving Risk
Cited in
(27)- Mini-Batch Risk Forms
- The comparative statics on asset prices based on bull and bear market measure
- Increasing risk, decreasing absolute risk aversion and diversification
- Time-coherent risk measures for continuous-time Markov chains
- Equilibria in the capital market with non-homogeneous investors
- Investment decisions when utility depends on wealth and other attributes
- Statistical estimation of composite risk functionals and risk optimization problems
- On risk evaluation and control of distributed multi-agent systems
- Portfolio selection and duality under mean variance preferences
- On the foundation of performance measures under asymmetric returns
- Global portfolio construction with emphasis on conflicting corporate strategies to maximize stockholder wealth
- PORTFOLIO SELECTION PROBLEMS VIA THE BIVARIATE CHARACTERIZATION OF STOCHASTIC DOMINANCE RELATIONS
- Characterizations of Optimal Portfolios by Univariate and Multivariate Risk Aversion
- An enhanced model for portfolio choice with SSD criteria: a constructive approach
- Increasing risk aversion and life-cycle investing
- Asset Proportions in Optimal Portfolios
- Risk measures from risk-reducing experiments
- More possessions, more worry
- Equilibrium relations in a capital asset market: A mean absolute deviation approach
- Risk forms: representation, disintegration, and application to partially observable two-stage systems
- Kusuoka representation of higher order dual risk measures
- Risk aversion and portfolio selection in a continuous-time model
- Risk preferences on the space of quantile functions
- A MEAN-VARIANCE-SKEWNESS MODEL: ALGORITHM AND APPLICATIONS
- Portfolio Choices in the Presence of Other Risks
- Two-stage portfolio optimization with higher-order conditional measures of risk
- Sufficient conditions under which SSD- and MR-efficient sets are identical
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