Pessimistic portfolio choice with one safe and one risky asset and right monotone probability difference order

DOI10.1155/2013/784275zbMATH Open1299.91124OpenAlexW2044005136WikidataQ59029269 ScholiaQ59029269MaRDI QIDQ474635FDOQ474635

Qiong Wu, Jiangfeng Li, Shunming Zhang, Zhiqiang Ye

Publication date: 24 November 2014

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2013/784275

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Cites Work

• The Dual Theory of Choice under Risk
• Monotone Comparative Statics
• Monotone Comparative Statics under Uncertainty
• Co-monotone allocations, Bickel-Lehmann dispersion and the Arrow-Pratt measure of risk aversion
• Four notions of mean-preserving increase in risk, risk attitudes and applications to the rank-dependent expected utility model
• More pessimism than greediness: a characterization of monotone risk aversion in the rank-dependent expected utility model
• Demand for risky financial assets: A portfolio analysis
• The Effects of Shifts in a Return Distribution on Optimal Portfolios
• Optimal Portfolios with One Safe and One Risky Asset: Effects of Changes in Rate of Return and Risk
• Comparative statics for rank-dependent expected utility theory
• Demand for risky assets and the monotone probability ratio order
• Risk aversion in the theory of expected utility with rank dependent probabilities
• Defining Bad News: Changes in Return Distributions That Decrease Risky Asset Demand
• Accounting for optimism and pessimism in expected utility
• The comparative statics of changes in risk revisited
• The axiomatic basis of anticipated utility: A clarification
• Economic choice in generalized expected utility theory
• Strong Increases in Risk and Their Comparative Statics
• A Ratio Criterion for Signing the Effects of an Increase in Uncertainty
• Increases in Risk and Linear Payoffs

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