Implications of constant risk aversion

DOI10.1007/BF01917173zbMath0467.90004MaRDI QIDQ3920947

K. Spremann, Günter Bamberg

Publication date: 1981

Published in: Zeitschrift für Operations Research (Search for Journal in Brave)

zbMATH Keywords

constant risk aversionportfolio selectionaxiomatic foundationrisk premiumssyndicatescapital market theorypessimistic maximum criterionvalues of information

Mathematics Subject Classification ID

Related Items (10)

Random sampling within the framework of a multivariate principal-agent approach ⋮ Symmetric QP and linear programming under primal-dual uncertainty ⋮ Duality and equilibrium prices in economics of uncertainty ⋮ Entropic risk measures and their comparative statics in portfolio selection: coherence vs. convexity ⋮ Portfolio theory for the recourse certainty equivalent maximizing investor ⋮ A recourse certainty equivalent for decisions under uncertainty ⋮ Consistency between principal and agent with differing time horizons: computing incentives under risk ⋮ AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT ⋮ Repräsentative Informationen in linearen Systemen ⋮ Der Wert von Renditeprognosen für Anlageentscheidungen

Cites Work

• Entscheidungen bei unvollständiger Information
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• Parametric certainty equivalence procedures in decision-making under uncertainty
• Note—A Delegation Process for Combining Individual Utility Functions
• Simplifying the Choice between Uncertain Prospects Where Preference is Nonlinear
• Risk Aversion in the Small and in the Large
• Optimal Entrepreneurial Decisions in a Completely Stochastic Environment
• What is the Laplace Transform?
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