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

DOI10.1007/S10203-019-00250-1zbMATH Open1444.91197OpenAlexW2946379334WikidataQ127938418 ScholiaQ127938418MaRDI QIDQ777930FDOQ777930

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

Recommendations

• The comparative statics of changes in risk revisited
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zbMATH Keywords

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

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

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Cited In (6)

• The Effect on Optimal Portfolios of Changing the Return to a Risky Asset: The Case of Dependent Risky Returns
• Some conditions for the equivalence between risk aversion, prudence and temperance
• 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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