Decreasing Risk Aversion and Mean-Variance Analysis

DOI10.2307/1912662zbMath0583.90008OpenAlexW2076444531MaRDI QIDQ3706792

Larry G. Epstein

Publication date: 1985

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1912662

zbMATH Keywords

decreasing-absolute-risk-aversionmean-variance utility functionalstwo-asset portfolio problems

Mathematics Subject Classification ID

Utility theory (91B16)

Related Items (13)

Subjective mean-variance preferences without expected utility ⋮ Mean-variance utility ⋮ Portfolio allocation and asset demand with mean-variance preferences ⋮ The value of a probability forecast from portfolio theory ⋮ Partial derivatives, comparative risk behavior and concavity of utility functions. ⋮ Increases in skewness and three-moment preferences ⋮ A two-parameter model of dispersion aversion ⋮ Global measures of risk aversion ⋮ Mean variance preferences and the heat equation ⋮ Tempering effects of (dependent) background risks: a mean-variance analysis of portfolio selection ⋮ On the statistical foundations of nonlinear utility theory: the case of status quo-dependent preferences. ⋮ Investment strategies and compensation of a mean-variance optimizing fund manager ⋮ Equilibrium investment and reinsurance strategies under smooth ambiguity with a general second-order distribution

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