The Dual Theory of Choice under Risk
From MaRDI portal
Publication:4726013
DOI10.2307/1911158zbMath0616.90005OpenAlexW2056819186WikidataQ87348064 ScholiaQ87348064MaRDI QIDQ4726013
Publication date: 1987
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/24267a3e03ba0f3de2519f678f3d32abd38ac6d1
expected utilityrisk aversionportfolio analysischoice under uncertaintyprobability mixture operation
Related Items (only showing first 100 items - show all)
AN EXPLICIT OPTION-BASED STRATEGY THAT OUTPERFORMS DOLLAR COST AVERAGING ⋮ Stochastic comparisons of residual lifetimes and inactivity times of coherent systems with dependent identically distributed components ⋮ Fuzzy measures and asset prices: accounting for information ambiguity ⋮ Risk preferences and development revisited ⋮ Nonlinear equity valuation using conic finance and its regulatory implications ⋮ On the precautionary motive for savings and prudence in the rank-dependent utility framework ⋮ Evaluating decision maker ``type under \(p\)-additive utility representations ⋮ Capital market equilibrium with heterogeneous investors ⋮ Characterizing optimism amd pessimism directly through comonotonicity ⋮ Bounds for Distorted Risk Measures ⋮ From sure to strong diversification ⋮ Linear cumulative prospect theory with applications to portfolio selection and insurance demand ⋮ Robust Decisions under Risk for Imprecise Probabilities ⋮ How Superadditive Can a Risk Measure Be? ⋮ Risk Perception and Ambiguity in a Quantile Cumulative Prospect Theory ⋮ Extended Gini-Type Measures of Risk and Variability ⋮ ON HETEROGENEITY IN THE INDIVIDUAL MODEL WITH BOTH DEPENDENT CLAIM OCCURRENCES AND SEVERITIES ⋮ DISAPPOINTMENT AVERSION PREMIUM PRINCIPLE ⋮ COMPETITIVE EQUILIBRIA WITH DISTORTION RISK MEASURES ⋮ PRICING IN REINSURANCE BARGAINING WITH COMONOTONIC ADDITIVE UTILITY FUNCTIONS ⋮ RISK REDISTRIBUTION GAMES WITH DUAL UTILITIES ⋮ RISK SHARING WITH EXPECTED AND DUAL UTILITIES ⋮ OPTIMAL PORTFOLIO UNDER STATE-DEPENDENT EXPECTED UTILITY ⋮ Choquet-based optimisation in multiobjective shortest path and spanning tree problems ⋮ Decisions under risk and uncertainty: A survey of recent developments ⋮ Characterizations of optimal reinsurance treaties: a cost-benefit approach ⋮ Optimal insurance in the presence of reinsurance ⋮ A unifying approach to risk-measure-based optimal reinsurance problems with practical constraints ⋮ Editorial to the special issue on behavioral insurance: mathematics and economics ⋮ Comparative risk aversion in RDEU with applications to optimal underwriting of securities issuance ⋮ Optimal reinsurance with multiple reinsurers: distortion risk measures, distortion premium principles, and heterogeneous beliefs ⋮ Optimal reinsurance with multiple reinsurers: competitive pricing and coalition stability ⋮ Systemic risk: conditional distortion risk measures ⋮ Risk measures induced by efficient insurance contracts ⋮ Portfolio selection in quantile decision models ⋮ Rationality principles for preferences on belief functions ⋮ On sums of dependent random lifetimes under the time-transformed exponential model ⋮ Statistical estimate of the proportional hazard premium of loss ⋮ All at once! A comprehensive and tractable semi-parametric method to elicit prospect theory components ⋮ Modeling and Comparing Dependencies in Multivariate Risk Portfolios ⋮ SENSITIVITY ANALYSIS OF NONLINEAR BEHAVIOR WITH DISTORTED PROBABILITY ⋮ Managing Economic and Virtual Economic Capital Within Financial Conglomerates ⋮ Ambiguity and the Bayesian Paradigm ⋮ Advances in Prospect Theory: Cumulative Representation of Uncertainty ⋮ Optimal insurance under maxmin expected utility ⋮ PELVE: probability equivalent level of VaR and ES ⋮ Optimal portfolio selection with VaR and portfolio insurance constraints under rank-dependent expected utility theory ⋮ An analytical approach for behavioral portfolio model with time discounting preference ⋮ A premium principle based on the g-integral ⋮ Computational Models for Cumulative Prospect Theory: Application to the Knapsack Problem Under Risk ⋮ Inverse Stochastic Dominance, Majorization, and Mean Order Statistics ⋮ Portfolio Optimization with Risk Control by Stochastic Dominance Constraints ⋮ Improving the Design of Financial Products in a Multidimensional Black-Scholes Market ⋮ Optimal Reinsurance Revisited – A Geometric Approach ⋮ Determining and Allocating Diversification Benefits for a Portfolio of Risks ⋮ Inverse cutting plane methods for optimization problems with second-order stochastic dominance constraints ⋮ Consistent risk measures for portfolio vectors ⋮ A new characterization of distortion premiums via countable additivity for comonotonic risks ⋮ Survival risks, intertemporal consumption, and insurance: the case of distorted probabilities ⋮ On univariate extreme value statistics and the estimation of reinsurance premiums ⋮ Inverse stochastic dominance constraints and rank dependent expected utility theory ⋮ HOPE, FEAR, AND ASPIRATIONS ⋮ Distorted mix method for constructing copulas with tail dependence ⋮ Inverse portfolio problem with mean-deviation model ⋮ A general test for SSD portfolio efficiency ⋮ On comparing coherent systems with heterogeneous components ⋮ Determination of risk pricing measures from market prices of risk ⋮ The use of flexible quantile-based measures in risk assessment ⋮ The role of a representative reinsurer in optimal reinsurance ⋮ Hedging insurance books ⋮ ON DUAL APPROACHES TO EFFICIENT OPTIMIZATION OF LP COMPUTABLE RISK MEASURES FOR PORTFOLIO SELECTION ⋮ Contingent claim pricing using probability distortion operators: methods from insurance risk pricing and their relationship to financial theory ⋮ PORTFOLIO CHOICE VIA QUANTILES ⋮ Dynamic Portfolio Selection in a Dual Expected Utility Theory Framework ⋮ Dynamic Portfolio Allocation, the Dual Theory of Choice and Probability Distortion Functions ⋮ Risk Exchange with Distorted Probabilities ⋮ Characterization, Robustness, and Aggregation of Signed Choquet Integrals ⋮ Insurance Premium Calculations with Anticipated Utility Theory ⋮ Analytical Evaluation of Economic Risk Capital for Portfolios of Gamma Risks ⋮ Orderings and Probability Functionals Consistent with Preferences ⋮ Some properties of distortion risk measures ⋮ Additive Consistency of Risk Measures and Its Application to Risk-Averse Routing in Networks ⋮ On Conditional Value-at-Risk Based Goal Programming Portfolio Selection Procedure ⋮ Stochastic dominance with nonadditive probabilities ⋮ ONE‐PARAMETER FAMILIES OF DISTORTION RISK MEASURES ⋮ A Note on the Suboptimality of Path-Dependent Pay-Offs in Lévy Markets ⋮ Log-concavity of the extremes from Gumbel bivariate exponential distributions ⋮ Dynamic decision making without expected utility: an operational approach ⋮ Computation of convex bounds for present value functions with random payments ⋮ Die Methode der verzerrten Wahrscheinlichkeiten in der Lebens- und Rentenversicherung ⋮ Risk Measures and Comonotonicity: A Review ⋮ Risk Measures and Robust Optimization Problems ⋮ CHOQUET PRICING FOR FINANCIAL MARKETS WITH FRICTIONS ⋮ Dilatation monotonous Choquet integrals ⋮ Approximations for life annuity contracts in a stochastic financial environment ⋮ Representation of the core of convex measure games via Kantorovich potentials ⋮ On the distortion of a copula and its margins ⋮ Risk-adjusted credibility premiums using distorted probabilities ⋮ Raising and allocation capital principles as optimal managerial contracts ⋮ Heterogeneity and the need for capital in the individual model
This page was built for publication: The Dual Theory of Choice under Risk
