Tempering effects of (dependent) background risks: a mean-variance analysis of portfolio selection
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Publication:690980
DOI10.1016/J.JMATECO.2012.09.001zbMATH Open1263.91022OpenAlexW2070510395MaRDI QIDQ690980FDOQ690980
Andreas Wagener, Thomas Eichner
Publication date: 29 November 2012
Published in: Journal of Mathematical Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmateco.2012.09.001
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Cites Work
- Title not available (Why is that?)
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- Risk Vulnerability and the Tempering Effect of Background Risk
- A characterization of the distributions that imply mean-variance utility functions
- Proper Risk Aversion
- Standard Risk Aversion
- Optimal Portfolios with One Safe and One Risky Asset: Effects of Changes in Rate of Return and Risk
- PORTFOLIO SELECTION WITH MONOTONE MEAN-VARIANCE PREFERENCES
- Two-parameter decision models and rank-dependent expected utility
- Multiple Risks and Mean-Variance Preferences
- Decreasing Risk Aversion and Mean-Variance Analysis
- Partial derivatives, comparative risk behavior and concavity of utility functions.
- Risk, Return, Skewness and Preference
- Prudence and risk vulnerability in two-moment decision models
- Proper and standard risk aversion in two-moment decision models
Cited In (6)
- A fuzzy portfolio selection model with background risk
- Sourcing decision under interconnected risks: an application of mean-variance preferences approach
- Impact of risk aversion and countervailing tax in oligopoly
- Comparative statics under uncertainty: The case of mean-variance preferences.
- Input Demand Under Joint Energy and Output Prices Uncertainties
- A mean–variance acreage model
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