Utility basis of consumption and investment decisions in a risk environment

DOI10.1007/S10473-022-0611-0OpenAlexW4303985896WikidataQ114691249 ScholiaQ114691249MaRDI QIDQ2080979FDOQ2080979

Authors: Kangping Wu 

Publication date: 12 October 2022

Published in: Acta Mathematica Scientia. Series B. (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10473-022-0611-0

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zbMATH Keywords

systematic riskmean-variance utilityrelative risk aversion tendencyVNM condition

Mathematics Subject Classification ID

Utility theory (91B16) Financial networks (including contagion, systemic risk, regulation) (91G45)

Cites Work

• Risk Aversion in the Small and in the Large
• Mean-variance portfolio optimization when means and covariances are unknown
• Multi-period portfolio optimization using model predictive control with mean-variance and risk parity frameworks
• A tail-revisited Markowitz mean-variance approach and a portfolio network centrality
• The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors
• Heuristic mean-variance optimization in Markov decision processes using state-dependent risk aversion

Cited In (4)

• Mean-variance and expected utility: the Borch paradox
• Quantifying the Cost of Risk in Consumption
• Expected utility and catastrophic consumption risk
• Title not available (Why is that?)

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