A two-parameter model of dispersion aversion

DOI10.1016/j.jet.2013.08.004zbMath1295.91029OpenAlexW2056414492MaRDI QIDQ2439914

Robert G. Chambers, Ben Polak, Simon Grant, John Quiggin

Publication date: 26 March 2014

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

Full work available at URL: https://ageconsearch.umn.edu/record/151196/files/RSMG%20Working%20Paper%20R11_2.pdf

zbMATH Keywords

two-fund separationuncertainty aversionweak-separabilityCAPM excess return formuladispersion of utilitymean utility

Mathematics Subject Classification ID

Decision theory (91B06)

Related Items (6)

Subjective mean-variance preferences without expected utility ⋮ Preferences with changing ambiguity aversion ⋮ Testing constant absolute and relative ambiguity aversion ⋮ Mean-dispersion preferences and constant absolute uncertainty aversion ⋮ Ambiguity aversion and wealth effects ⋮ Mean-dispersion preferences with a specific dispersion function

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