The Effects of Shifts in a Return Distribution on Optimal Portfolios

DOI10.2307/2527171MaRDI QIDQ3199162zbMATH OpenOpenAlexFDO

Authors Josef Hadar, Tae Kun Seo

Publication date 1990

Published in International Economic Review (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/2527171

zbMATH Keywords

risk aversionrisky assetstochastically dominating shift

Mathematics Subject Classification ID

Utility theory (91B16)

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Cited in

(28)

• Portfolio allocation and asset demand with mean-variance preferences
• Comparative statics of changes in risk on monotonically and partially responsive kinked payoffs
• Changes in multiplicative risks and optimal portfolio choice: new interpretations and results
• General stochastic dominance rules
• The subclasses of first-degree stochastic dominance (FSD) shifts and their comparative statics
• Sourcing decision under interconnected risks: an application of mean-variance preferences approach
• Sometimes more, sometimes less: prudence and the diversification of risky insurance coverage
• Portfolio selection and duality under mean variance preferences
• On Abel's concept of doubt and pessimism
• Portfolio choice under noisy asset returns
• The economics of adding and subdividing independent risks: Some comparative statics results
• A model of comparative statics for changes in stochastic returns with dependent risky assets
• The Effect on Optimal Portfolios of Changing the Return to a Risky Asset: The Case of Dependent Risky Returns
• Intellectual property rights and R\&D subsidies: are they complementary policies?
• PORTFOLIO SELECTION PROBLEMS VIA THE BIVARIATE CHARACTERIZATION OF STOCHASTIC DOMINANCE RELATIONS
• An interpretation of the condition for precautionary saving: the case of greater higher-order interest rate risk
• The values of relative risk aversion and prudence: a context-free interpretation
• A new interpretation of the condition for precautionary saving in the presence of an interest-rate risk
• Estimating investor preferences towards portfolio return distribution in investment funds
• Comparative statics predictions for the cross-effects of central dominance changes in risk with quasilinear payoffs
• Loss-averse preferences and portfolio choices: an extension
• Games with second-order expected utility
• On relative and partial risk attitudes: theory and implications
• Portfolio allocation problems between risky and ambiguous assets
• Comparative statics in an ordinal theory of choice under risk
• Uncertain indemnity and the demand for insurance
• The short- and long-run comparative statics of uncertainty
• Pessimistic portfolio choice with one safe and one risky asset and right monotone probability difference order

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