Tempering effects of (dependent) background risks: a mean-variance analysis of portfolio selection

DOI10.1016/J.JMATECO.2012.09.001MaRDI QIDQ690980zbMATH OpenOpenAlexFDO

Authors Thomas Eichner, Andreas Wagener

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

zbMATH Keywords

propernessstandardnessdecision under riskrisk vulnerability

Mathematics Subject Classification ID

Decision theory (91B06) Portfolio theory (91G10)

Recommendations

• Effects of background risks on cautiousness with an application to a portfolio choice problem
• Mean-risk model for uncertain portfolio selection with background risk
• Portfolio management with background risk under uncertain mean-variance utility
• A risk index model for uncertain portfolio selection with background risk
• Uncertain portfolio selection with background risk
• Mean-risk model for uncertain portfolio selection with background risk and realistic constraints
• A theory of the risk for empirical CVaR with application to portfolio selection
• Optimal portfolio and background risk: an exact and an approximated solution.
• Research on probability mean-lower semivariance-entropy portfolio model with background risk

Cites work

• scientific article; zbMATH DE number 45785 (Why is no real title available?)
• A characterization of the distributions that imply mean-variance utility functions
• Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
• Decreasing Risk Aversion and Mean-Variance Analysis
• Multiple risks and mean-variance preferences
• 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
• Partial derivatives, comparative risk behavior and concavity of utility functions.
• Proper Risk Aversion
• Proper and standard risk aversion in two-moment decision models
• Prudence and risk vulnerability in two-moment decision models
• Risk Vulnerability and the Tempering Effect of Background Risk
• Risk, Return, Skewness and Preference
• Standard Risk Aversion
• Two-parameter decision models and rank-dependent expected utility

Cited in

(10)

• Multiple risks and mean-variance preferences
• Comparative statics under uncertainty: The case of mean-variance preferences.
• Impact of risk aversion and countervailing tax in oligopoly
• A mean-variance acreage model
• Input Demand Under Joint Energy and Output Prices Uncertainties
• Sourcing decision under interconnected risks: an application of mean-variance preferences approach
• Beneficial changes in dependence structures and two-moment decision models
• Effects of background risks on cautiousness with an application to a portfolio choice problem
• Risk taking with additive and multiplicative background risks
• A fuzzy portfolio selection model with background risk

This page was built for publication: Tempering effects of (dependent) background risks: a mean-variance analysis of portfolio selection

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q690980)