Partial derivatives, comparative risk behavior and concavity of utility functions.

DOI10.1016/S0165-4896(02)00084-7zbMath1043.91021OpenAlexW2002577160MaRDI QIDQ1402488

Fatma Lajeri-Chaherli

Publication date: 28 August 2003

Published in: Mathematical Social Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-4896(02)00084-7

zbMATH Keywords

ConcavityMean-variance utilityPrudenceRisk aversion

Mathematics Subject Classification ID

Utility theory (91B16) Social choice (91B14)

Related Items (7)

Portfolio allocation and asset demand with mean-variance preferences ⋮ Increases in skewness and three-moment preferences ⋮ Tempering effects of (dependent) background risks: a mean-variance analysis of portfolio selection ⋮ Portfolio selection and duality under mean variance preferences ⋮ Portfolio management with background risk under uncertain mean-variance utility ⋮ Welfare stigma and risk taking in the welfare state ⋮ Measures of risk attitude: correspondences between mean-variance and expected-utility approaches

Cites Work

• Existence of equilibrium in CAPM
• A characterization of the distributions that imply mean-variance utility functions
• Global measures of risk aversion
• Concavifiability and constructions of concave utility functions
• Variance aversion implies \(\mu-\sigma^ 2\)-criterion
• Existence, uniqueness and determinacy of equilibrium in C. A. P. M. with a riskless asset
• Parametric characterizations of risk aversion and prudence
• Decreasing Risk Aversion and Mean-Variance Analysis
• Proper Risk Aversion
• Some Stronger Measures of Risk Aversion in the Small and the Large with Applications
• Existence Theorems in the Capital Asset Pricing Model
• The Ordering of Portfolios in Terms of Mean and Variance
• Risk Aversion in the Small and in the Large

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