Portfolio choice in the model of expected utility with a safety-first component
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Cites work
- scientific article; zbMATH DE number 1273005 (Why is no real title available?)
- A note on comparative downside risk aversion
- A note on risky targets and effort
- A note on the comparative statics approach to \(n\)th-degree risk aversion
- Comparative higher-degree Ross risk aversion
- Comparative risk aversion: a formal approach with applications to saving behavior
- Comparing downside risk measures for heavy tailed distributions
- Dynamic safety first expected utility model
- First order versus second order risk aversion
- Higher-order generalizations of Arrow-Pratt and Ross risk aversion: a comparative statics approach
- Increases in Risk and Linear Payoffs
- It is whether you win or lose: the importance of the overall probabilities of winning or losing in risky choice
- Loss-averse preferences and portfolio choices: an extension
- Minimizing a Submodular Function on a Lattice
- Monotone Comparative Statics
- More pessimism than greediness: a characterization of monotone risk aversion in the rank-dependent expected utility model
- On monotone recursive preferences
- Portfolio Choice Under Cumulative Prospect Theory: An Analytical Treatment
- Preference for safety under the Choquet model: in search of a characterization
- Prospect Theory: An Analysis of Decision under Risk
- Rationalizing investors' choices
- Restricted increases in risk aversion and their application
- Risk Aversion in the Small and in the Large
- Risky targets and effort
- Safety First and the Holding of Assets
- Some Stronger Measures of Risk Aversion in the Small and the Large with Applications
- Static portfolio choice under cumulative prospect theory
- Stronger measures of higher-order risk attitudes
- Substituting one risk increase for another: a method for measuring risk aversion
- The demand for a risky asset in the presence of a background risk
- The dual theory of the smooth ambiguity model
- The economics of risk and time
- The role of aspiration level in risky choice: A comparison of cumulative prospect theory and SP/A theory
- ``Last-place aversion: evidence and redistributive implications
Cited in
(10)- On the effect of premia and penalties on optimal portfolio choice
- Safety first portfolio choice based on financial and sustainability returns
- Portfolio optimization under safety first expected utility with nonlinear probability distortion
- Expected return -- expected loss approach to optimal portfolio investment
- The Multiple-Family ELSP with Safety Stocks
- Dynamic safety first expected utility model
- Risky asset pricing based on safety first fund management
- Optimal portfolio of safety-first models
- How's the performance of the optimized portfolios by safety-first rules: theory with empirical comparisons
- Safety-first portfolio selection
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