Proper and standard risk aversion in two-moment decision models

DOI10.1007/S11238-005-0285-9MaRDI QIDQ813101zbMATH OpenOpenAlexFDO

Authors Fatma Lajeri-Chaherli

Publication date 30 January 2006

Published in Theory and Decision (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11238-005-0285-9

zbMATH Keywords

mean-variance preferencesproper risk aversionstandard risk aversion

Mathematics Subject Classification ID

Utility theory (91B16)

Recommendations

• Proper Risk Aversion
• Comparative statics of properness in two-moment decision models
• Standard Risk Aversion
• Prudence and risk vulnerability in two-moment decision models
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Cites work

• Parametric characterizations of risk aversion and prudence
• Proper prudence, standard prudence and precautionary vulnerability
• Proper Risk Aversion
• Prudence and risk vulnerability in two-moment decision models
• Standard Risk Aversion

Cited in

(10)

• Consistent modeling of risk averse behavior with spectral risk measures: Wächter/Mazzoni revisited
• Proper prudence, standard prudence and precautionary vulnerability
• Parametric characterizations of risk aversion and prudence
• Portfolio optimization by a bivariate functional of the mean and variance
• Standard Risk Aversion
• Prudence and risk vulnerability in two-moment decision models
• Tempering effects of (dependent) background risks: a mean-variance analysis of portfolio selection
• Comparative statics of properness in two-moment decision models
• Beneficial changes in dependence structures and two-moment decision models
• Slutzky equations and substitution effects of risks in terms of mean-variance preferences

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