Some consequences of correlation aversion in decision science

DOI10.1007/s10479-008-0446-7zbMath1233.91078OpenAlexW2152034063MaRDI QIDQ993723

Béatrice Rey, Michel M. Denuit, Louis R. Eeckhoudt

Publication date: 20 September 2010

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-008-0446-7

zbMATH Keywords

prudencerisk aversionstochastic dominancetemperancebivariate (\(s_{1},s_{2}\))-increasing concave orders

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Decision theory (91B06) Portfolio theory (91G10)

Related Items (10)

Multi-attribute target-based utilities and extensions of fuzzy measures ⋮ Prudence, temperance, edginess, and risk apportionment as decreasing sensitivity to detrimental changes ⋮ Another look at risk apportionment ⋮ Correlated risks, bivariate utility and optimal choices ⋮ Multidimensional risk aversion: the cardinal sin ⋮ Consistency between principal and agent with differing time horizons: computing incentives under risk ⋮ Nuclear emergency decision support: a behavioural OR perspective ⋮ Decomposing the Cross Derivatives of a Multiattribute Utility Function into Risk Attitude and Value ⋮ Multivariate stochastic dominance for risk averters and risk seekers ⋮ Multivariate Concave and Convex Stochastic Dominance

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• Note—A Note on Multivariate Risk and Separable Utility Functions
• The s-convex orders among real random variables, with applications
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• Standard Risk Aversion

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