Slutzky equations and substitution effects of risks in terms of mean-variance preferences

DOI10.1007/S11238-008-9115-1MaRDI QIDQ989918zbMATH OpenOpenAlexFDO

Authors Thomas Eichner

Publication date 23 August 2010

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

Full work available at URL https://doi.org/10.1007/s11238-008-9115-1

zbMATH Keywords

meanvariancesubstitution effectSlutzky equation

Mathematics Subject Classification ID

Decision theory (91B06)

Recommendations

• Duality and consumption decisions under income and price risk
• Portfolio selection and duality under mean variance preferences
• Multiple risks and mean-variance preferences
• Optimal consumption and Slutsky equation with Epstein-Zin type preference
• Comparative statics under uncertainty: The case of mean-variance preferences.

Cites work

• A characterization of the distributions that imply mean-variance utility functions
• Changes in Background Risk and Risk Taking Behavior
• Duality and consumption decisions under income and price risk
• Multiple risks and mean-variance preferences
• Optimal Portfolios with One Safe and One Risky Asset: Effects of Changes in Rate of Return and Risk
• Outside Risk Aversion and the Comparative Statics of Increasing Risk in Quasi-Linear Decision Models
• Proper Risk Aversion
• Proper and standard risk aversion in two-moment decision models
• Risk Vulnerability and the Tempering Effect of Background Risk
• Standard Risk Aversion

Cited in

(2)

• Portfolio selection and duality under mean variance preferences
• Duality and consumption decisions under income and price risk

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