Some consequences of correlation aversion in decision science

DOI10.1007/S10479-008-0446-7MaRDI QIDQ993723zbMATH OpenOpenAlexFDO

Authors Béatrice Rey, Michel Denuit, Louis 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

stochastic dominancerisk aversionprudencetemperancebivariate (\(s_{1},s_{2}\))-increasing concave orders

Mathematics Subject Classification ID

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

Recommendations

• Diversification and risk attitudes toward two risks
• Correlated risks, bivariate utility and optimal choices
• Understanding and measuring bivariate risk attitude: What can we learn from concordance?
• On risk aversion with two risks
• Bivariate almost stochastic dominance

Cites work

• scientific article; zbMATH DE number 3556956 (Why is no real title available?)
• A class of bivariate stochastic orderings, with applications in actuarial sciences
• Continua of stochastic dominance relations for bounded probability distributions
• Extremal generators and extremal distributions for the continuous \(s\)-convex stochastic orderings
• Increasing outer risk
• Inequalities for distributions with given marginals
• Multivariate Risk Aversion, Utility Independence and Separable Utility Functions
• Note—A Note on Multivariate Risk and Separable Utility Functions
• Proper Risk Aversion
• Risk Vulnerability and the Tempering Effect of Background Risk
• Robust Mean-Covariance Solutions for Stochastic Optimization
• Standard Risk Aversion
• Stochastic Dominance and Moment Inequalities
• Stochastic Dominance and Moments of Distributions
• The s-convex orders among real random variables, with applications

Cited in

(15)

• Multivariate stochastic dominance for risk averters and risk seekers
• Multi-attribute target-based utilities and extensions of fuzzy measures
• Understanding and measuring bivariate risk attitude: What can we learn from concordance?
• Financial risk taking in the presence of correlated non-financial background risk
• Multivariate concave and convex stochastic dominance
• Beneficial changes in dependence structures and two-moment decision models
• Consistency between principal and agent with differing time horizons: computing incentives under risk
• 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
• Nuclear emergency decision support: a behavioural OR perspective
• Diversification and risk attitudes toward two risks
• Decomposing the cross derivatives of a multiattribute utility function into risk attitude and value
• Correlation Made Simple: Applications to Salience and Regret Theory

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