Generalised mean-risk preferences

DOI10.1016/J.JET.2016.11.004zbMATH Open1400.91149OpenAlexW2555919024MaRDI QIDQ508379FDOQ508379

Authors: Daniel Schoch 

Publication date: 10 February 2017

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

Full work available at URL: https://doi.org/10.1016/j.jet.2016.11.004

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zbMATH Keywords

CAPMcoherent risk measuresdeviation measuresmean-risk preferences

Mathematics Subject Classification ID

Individual preferences (91B08) Portfolio theory (91G10)

Cites Work

• Coherent measures of risk
• Generalized deviations in risk analysis
• Prospect theory. For risk and ambiguity.
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• Modifying the mean-variance approach to avoid violations of stochastic dominance
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• Variance aversion implies \(\mu-\sigma^ 2\)-criterion
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Cited In (4)

• Generalized Expected Utility Analysis of Multivariate Risk Aversion
• Global identification of risk preferences with revealed preference data
• Preference under risk in the presence of indistinguishable probabilities
• Subjective mean-variance preferences without expected utility

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