Increases in risk aversion and the distribution of portfolio payoffs
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Publication:417629
DOI10.1016/J.JET.2011.11.009zbMATH Open1258.91099OpenAlexW3121901209MaRDI QIDQ417629FDOQ417629
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
Recommendations
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- 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
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- Mutual fund separation in financial theory - the separating distributions
- The Existence of Probability Measures with Given Marginals
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- Lifetime consumption and investment: retirement and constrained borrowing
- Risk Aversion with Random Initial Wealth
- Some Stronger Measures of Risk Aversion in the Small and the Large with Applications
- Risk Aversion in the Small and in the Large
- A variational problem arising in financial economics
- Comparative statics and non-expected utility preferences
- Some Negative Results on the Existence of Comparative Statics Results in Portfolio Theory
Cited In (12)
- A critical look at the Aumann-Serrano and Foster-Hart measures of riskiness
- Risk aversion and portfolio selection in a continuous-time model
- 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
- Increases in prudence and increases in risk aversion
- Incremental risk aversion and diversification preference
- Utility maximization, risk aversion, and stochastic dominance
- Rationalizing investors' choices
- Optimal investment with risk controlled by weighted entropic risk measures
- Defining Bad News: Changes in Return Distributions That Decrease Risky Asset Demand
- The comparative statics of changes in risk revisited
- Portfolio choices: comparative statics under both expected return and volatility uncertainty
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