Increases in risk aversion and the distribution of portfolio payoffs

DOI10.1016/j.jet.2011.11.009zbMath1258.91099OpenAlexW3121901209MaRDI QIDQ417629

J. Herrera, H. S. Yoon

Publication date: 14 May 2012

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jet.2011.11.009

zbMATH Keywords

risk aversionstochastic dominancetwo-fund separationportfolio theorycomplete markets

Mathematics Subject Classification ID

Related Items (5)

Utility maximization, risk aversion, and stochastic dominance ⋮ Rationalizing investors' choices ⋮ A critical look at the Aumann-Serrano and Foster-Hart measures of riskiness ⋮ Portfolio choices: comparative statics under both expected return and volatility uncertainty ⋮ Rank-Dependent Utility and Risk Taking in Complete Markets

Cites Work

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• Comparative statics and non-expected utility preferences
• Risk Aversion with Random Initial Wealth
• Some Stronger Measures of Risk Aversion in the Small and the Large with Applications
• "Expected Utility" Analysis without the Independence Axiom
• Some Negative Results on the Existence of Comparative Statics Results in Portfolio Theory
• Risk Aversion in the Small and in the Large
• The Existence of Probability Measures with Given Marginals

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