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

DOI10.1155/2013/784275MaRDI QIDQ474635zbMATH OpenOpenAlexWikidataFDO

Authors Jiangfeng Li, Qiong Wu, Zhiqiang Ye, Shunming Zhang

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)

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Cites work

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

Cited in

(3)

• The Effects of Shifts in a Return Distribution on Optimal Portfolios
• Monotonicity of asset price toward higher changes in risk
• Portfolio choice for increases in risk and prudence revisited

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