Incremental risk aversion and diversification preference

DOI10.1006/JETH.1996.0081MaRDI QIDQ1815201zbMATH OpenOpenAlexFDO

Authors Chew Soo Hong, Leonard F. Herk

Publication date 7 November 1996

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

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

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

zbMATH Keywords

mean-independent incremental risks

Mathematics Subject Classification ID

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Cited in

(10)

• Increases in risk aversion and the distribution of portfolio payoffs
• Asset Demand Without the Independence Axiom
• Linear-risk-tolerant, invariant risk preferences
• On the nature of certainty equivalent functionals
• Decreasing Risk Aversion and Mean-Variance Analysis
• 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

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