Comparative statics under uncertainty: The case of mean-variance preferences.

DOI10.1016/S0377-2217(02)00599-4zbMath1033.90057OpenAlexW3122513629MaRDI QIDQ1406969

Andreas Wagener

Publication date: 7 September 2003

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0377-2217(02)00599-4

zbMATH Keywords

Utility theoryDecision analysisChoice under uncertaintyMean-variance analysisRisk preferences

Mathematics Subject Classification ID

Related Items (7)

On expected utility for financial insurance portfolios with stochastic dependencies ⋮ Understanding dynamic mean variance asset allocation ⋮ The desirability of pay-as-you-go pensions when relative consumption matters and returns are stochastic ⋮ Entropic risk measures and their comparative statics in portfolio selection: coherence vs. convexity ⋮ Input Demand Under Joint Energy and Output Prices Uncertainties ⋮ Prudence and risk vulnerability in two-moment decision models ⋮ Measures of risk attitude: correspondences between mean-variance and expected-utility approaches

Cites Work

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• The Ordering of Portfolios in Terms of Mean and Variance
• Changes in Background Risk and Risk Taking Behavior
• Risk Vulnerability and the Tempering Effect of Background Risk
• Standard Risk Aversion

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