New results on high-order risk changes

DOI10.1016/j.ejor.2014.12.023zbMath1346.91081OpenAlexW1972538733MaRDI QIDQ319177

Mario Menegatti

Publication date: 6 October 2016

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

Full work available at URL: https://doi.org/10.1016/j.ejor.2014.12.023

zbMATH Keywords

riskutility theory\(n\)th-order derivatives\(n\)th-order risk change

Mathematics Subject Classification ID

Related Items (8)

A note on changes in additive risky benefits and risky costs ⋮ A theoretical generalization of the Markowitz model incorporating skewness and kurtosis ⋮ Some conditions for the equivalence between risk aversion, prudence and temperance ⋮ Greater Arrow-Pratt (absolute) risk aversion of higher orders ⋮ A note on portfolio selection and stochastic dominance ⋮ How do changes in risk and risk aversion affect self-protection with Selden/Kreps-Porteus preferences? ⋮ Changes in multiplicative risks and optimal portfolio choice: new interpretations and results ⋮ On the relationship between comparisons of risk aversion of different orders

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