Multivariate risk aversion with applications

DOI10.1016/0270-0255(83)90056-8MaRDI QIDQ3316909zbMATH OpenOpenAlexFDO

Authors J. K. Sengupta

Publication date 1983

Published in Mathematical Modelling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0270-0255(83)90056-8

zbMATH Keywords

eigenvalue problemsportfolio theoryapplied modellingcomparison of minimax strategiesmeasures of multivariate risk aversion

Mathematics Subject Classification ID

Multivariate analysis (62H99) Utility theory (91B16)

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Cited in

(14)

• Generalized Expected Utility Analysis of Multivariate Risk Aversion
• Univariate and multivariate measures of risk aversion and risk premiums
• Correlated risks, bivariate utility and optimal choices
• scientific article; zbMATH DE number 1882999 (Why is no real title available?)
• Some classes of multivariate risk measures
• Risk aversion for variational and multiple-prior preferences
• Sampling Distribution of the Relative Risk Aversion Estimator: Theory and Applications
• Many good risks: An interpretation of multivariate risk and risk aversion without the independence axiom
• The location of a minimum variance squared distance functional
• Local utility and multivariate risk aversion
• Risk tomography
• Risk premium for dependent risks using utility copulas and risk aversion
• Measures of risk aversion with many commodities
• Understanding and measuring bivariate risk attitude: What can we learn from concordance?

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