Incremental risk aversion and diversification preference

DOI10.1006/JETH.1996.0081zbMATH Open0859.90054OpenAlexW2029203282MaRDI QIDQ1815201FDOQ1815201

Authors: Chew Soo Hong, Leonard F. Herk 

Publication date: 7 November 1996

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

Full work available at URL: https://doi.org/10.1006/jeth.1996.0081

Recommendations

• Increasing risk, decreasing absolute risk aversion and diversification
• Increases in risk aversion and the distribution of portfolio payoffs
• Diversification and risk attitudes toward two risks
• Risk aversion heterogeneity and the investment-uncertainty relationship
• RISK‐AVERSION BEHAVIOR IN CONSUMPTION/INVESTMENT PROBLEMS¹
• Time-varying risk aversion and dynamic portfolio allocation
• Risk Preferences Heterogeneity: Evidence from Asset Markets
• Risk preferences and loss aversion in portfolio optimization
• Risk Aversion in the Small and in the Large

zbMATH Keywords

mean-independent incremental risks

Mathematics Subject Classification ID

Cited In (9)

• Increases in risk aversion and the distribution of portfolio payoffs
• Asset Demand Without the Independence Axiom
• Decreasing Risk Aversion and Mean-Variance Analysis
• On the nature of certainty equivalent functionals
• Utility functions of equivalent form and the effect of parameter changes on optimum decision making
• Increasing risk, decreasing absolute risk aversion and diversification
• The economics of adding and subdividing independent risks: Some comparative statics results
• Mixed risk aversion
• Diversification preferences in the theory of choice

This page was built for publication: Incremental risk aversion and diversification preference

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1815201)