Utility basis of consumption and investment decisions in a risk environment

DOI10.1007/S10473-022-0611-0MaRDI QIDQ2080979zbMATH OpenOpenAlexWikidataFDO

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

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)

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Cites work

• A tail-revisited Markowitz mean-variance approach and a portfolio network centrality
• Heuristic mean-variance optimization in Markov decision processes using state-dependent risk aversion
• 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
• Risk Aversion in the Small and in the Large
• The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors

Cited in

(4)

• Mean-variance and expected utility: the Borch paradox
• Quantifying the Cost of Risk in Consumption
• Expected utility and catastrophic consumption risk
• scientific article; zbMATH DE number 7156447 (Why is no real title available?)

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