Do investors like to diversify? A study of Markowitz preferences

DOI10.1016/j.ejor.2011.05.034zbMath1237.91205OpenAlexW3124952293MaRDI QIDQ421640

Martín Egozcue, Ričardas Zitikis, Wing-Keung Wong, Luis Fuentes García

Publication date: 14 May 2012

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

Full work available at URL: https://doi.org/10.1016/j.ejor.2011.05.034

zbMATH Keywords

risk aversionutility theoryportfolio selectiondiversified portfolioMarkowitz preferences

Mathematics Subject Classification ID

Utility theory (91B16) Portfolio theory (91G10)

Related Items (7)

An improved estimation to make Markowitz's portfolio optimization theory users friendly and estimation accurate with application on the US stock market investment ⋮ Stochastic dominance via quantile regression with applications to investigate arbitrage opportunity and market efficiency ⋮ Stochastic dominance statistics for risk averters and risk seekers: an analysis of stock preferences for USA and China ⋮ Second order of stochastic dominance efficiency vs mean variance efficiency ⋮ Some covariance inequalities for non-monotonic functions with applications to mean-variance indifference curves and bank hedging ⋮ Improved estimation of optimal portfolio with an application to the US stock market ⋮ Central moments, stochastic dominance, moment rule, and diversification with an application

Uses Software

• sn

Cites Work

• Unnamed Item
• Prospect and Markowitz stochastic dominance
• Stochastic dominance and mean-variance measures of profit and loss for business planning and investment
• Stochastic dominance and prospect dominance with subjective weighting functions
• Prospect Theory: Much Ado About Nothing?
• Extension of stochastic dominance theory to random variables
• The Skew-normal Distribution and Related Multivariate Families*

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