Increases in risk aversion and the distribution of portfolio payoffs

DOI10.1016/J.JET.2011.11.009MaRDI QIDQ417629zbMATH OpenOpenAlexFDO

Authors Philip H. Dybvig, Yajun Wang

Publication date 14 May 2012

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

Full work available at URL https://doi.org/10.1016/j.jet.2011.11.009

zbMATH Keywords

stochastic dominanceportfolio theoryrisk aversioncomplete marketstwo-fund separation

Mathematics Subject Classification ID

Portfolio theory (91G10)

Recommendations

• Increasing risk, decreasing absolute risk aversion and diversification
• Incremental risk aversion and diversification preference
• Portfolio choice for increases in risk and prudence revisited
• Increases in prudence and increases in risk aversion
• On the shape of risk aversion and asset allocation
• Restricted increases in risk aversion and their application
• Uncertainty Aversion, Risk Aversion, and the Optimal Choice of Portfolio
• Increasing risk and equilibrium under uncertainty

Cites work

• scientific article; zbMATH DE number 3342731 (Why is no real title available?)
• scientific article; zbMATH DE number 3365044 (Why is no real title available?)
• "Expected Utility" Analysis without the Independence Axiom
• A variational problem arising in financial economics
• Comparative statics and non-expected utility preferences
• Lifetime consumption and investment: retirement and constrained borrowing
• Mutual fund separation in financial theory - the separating distributions
• Risk Aversion in the Small and in the Large
• Risk Aversion with Random Initial Wealth
• Some Negative Results on the Existence of Comparative Statics Results in Portfolio Theory
• Some Stronger Measures of Risk Aversion in the Small and the Large with Applications
• The Existence of Probability Measures with Given Marginals

Cited in

(12)

• Rationalizing investors' choices
• Optimal investment with risk controlled by weighted entropic risk measures
• Utility maximization, risk aversion, and stochastic dominance
• Increases in prudence and increases in risk aversion
• Incremental risk aversion and diversification preference
• The comparative statics of changes in risk revisited
• Portfolio choices: comparative statics under both expected return and volatility uncertainty
• THE DEMAND FOR A RISKY ASSET: SIGNING, JOINTLY AND SEPARATELY, THE EFFECTS OF THREE DISTRIBUTIONAL SHIFTS
• Rank-dependent utility and risk taking in complete markets
• Risk aversion and portfolio selection in a continuous-time model
• A critical look at the Aumann-Serrano and Foster-Hart measures of riskiness
• Defining Bad News: Changes in Return Distributions That Decrease Risky Asset Demand

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