Changes in multiplicative risks and optimal portfolio choice: new interpretations and results

DOI10.1007/S10203-019-00250-1MaRDI QIDQ777930zbMATH OpenOpenAlexWikidataFDO

Authors Marzia De Donno, Marco Magnani, Mario Menegatti

Publication date 8 July 2020

Published in Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10203-019-00250-1

zbMATH Keywords

portfolio choice\(N\)th-degree risk changemultiplicative risk

Mathematics Subject Classification ID

Portfolio theory (91G10)

Recommendations

• The comparative statics of changes in risk revisited
• Changes in multiplicative background risk and risk-taking behavior
• On relative and partial risk attitudes: theory and implications
• Multiplicative risk apportionment
• Portfolio choice for increases in risk and prudence revisited

Cites work

• A new interpretation for the precautionary saving motive: a note
• A new interpretation of the condition for precautionary saving in the presence of an interest-rate risk
• A note on portfolio selection and stochastic dominance
• Benchmark values for higher order coefficients of relative risk aversion
• Extremal generators and extremal distributions for the continuous \(s\)-convex stochastic orderings
• Increasing outer risk
• New results on high-order risk changes
• New results on the relationship among risk aversion, prudence and temperance
• On non-monetary measures in the face of risks and the signs of the derivatives
• On relative and partial risk attitudes: theory and implications
• On the conditions for precautionary saving
• On the intensity of downside risk aversion
• On the relationship between absolute prudence and absolute risk aversion
• On the utility premium of Friedman and Savage
• Optimal Portfolios with One Safe and One Risky Asset: Effects of Changes in Rate of Return and Risk
• Pigouvian tax, abatement policies and uncertainty on the environment
• Precautionary saving in the presence of labor income and interest rate risks
• Precautionary saving under many risks
• The Effects of Shifts in a Return Distribution on Optimal Portfolios
• The effects of stochastic wages and non-labor income on labor supply: update and extensions
• The monetary utility premium and interpersonal comparisons

Cited in

(6)

• Some conditions for the equivalence between risk aversion, prudence and temperance
• The Effect on Optimal Portfolios of Changing the Return to a Risky Asset: The Case of Dependent Risky Returns
• Multistage risk premiums in portfolio optimization
• A note on changes in additive risky benefits and risky costs
• Multiple partial adjustment of portfolios under rational expectations
• On the relationship between comparisons of risk aversion of different orders

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