From sure to strong diversification

DOI10.1007/S00199-006-0126-2MaRDI QIDQ2642872zbMATHOpenAlexFDO

Authors Alain Chateauneuf, Ghizlane Lakhnati

Publication date 6 September 2007

Published in Economic Theory (Search for Journal in Brave)

Full work available at URL https://halshs.archives-ouvertes.fr/halshs-00194670

zbMATH Keywords

diversificationstrong risk aversionweak risk aversion

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Portfolio theory (91G10)

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Cites work

• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• A Schur concave characterization of risk aversion for non-expected utility preferences
• Anticipated utility: A measure representation approach
• Asset Demand Without the Independence Axiom
• Characterization of symmetrical monotone risk aversion in the RDEU model.
• Comonotonicity axioms and rank-dependent expected utility theory for arbitrary consequences
• Continuity Properties of Paretian Utility
• Diversification, convex preferences and non-empty core in the Choquet expected utility model.
• Positivity of bid-ask spreads and symmetrical monotone risk aversion
• Risk aversion in the theory of expected utility with rank dependent probabilities
• Risk seeking with diminishing marginal utility in a non-expected utility model
• Separating marginal utility and probabilistic risk aversion
• The Dual Theory of Choice under Risk

Cited in

(10)

• Preferences over all random variables: incompatibility of convexity and continuity
• Concave/convex weighting and utility functions for risk: a new light on classical theorems
• Diversification, convex preferences and non-empty core in the Choquet expected utility model.
• Do investors like to diversify? A study of Markowitz preferences
• Risk attitudes in axiomatic decision theory: a conceptual perspective
• Risk preferences and their robust representation
• Optimal sharing with an infinite number of commodities in the presence of optimistic and pessimistic agents
• Diversification preferences in the theory of choice
• Comparative statics in an ordinal theory of choice under risk
• Asset Demand Without the Independence Axiom

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