Modifying the Mean-Variance Approach to Avoid Violations of Stochastic Dominance

DOI10.1287/MNSC.1100.1224zbMATH Open1232.91210OpenAlexW2100513203MaRDI QIDQ3117331FDOQ3117331

Pavlo R. Blavatskyy

Publication date: 27 February 2012

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/09f8742d7e83b3151854e6f9fc569313afb9d36c

zbMATH Keywords

decision theorymean-variance approachexpected utility riskutility dispersion

Mathematics Subject Classification ID

Utility theory (91B16)

Cited In (11)

• Auctioning risk: the all-pay auction under mean-variance preferences
• A second-generation disappointment aversion theory of decision making under risk
• Probabilistic subjective expected utility
• A simple non-parametric method for eliciting prospect theory's value function and measuring loss aversion under risk and ambiguity
• Basic Geometric Dispersion Theory of Decision Making Under Risk: Asymmetric Risk Relativity, New Predictions of Empirical Behaviors, and Risk Triad
• Expected return -- expected loss approach to optimal portfolio investment
• Stochastic dominance and mean-variance measures of profit and loss for business planning and investment
• Probability weighting and L-moments
• General linear formulations of stochastic dominance criteria
• Generalised mean-risk preferences
• Which decision theory?

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