Beneficial changes in dependence structures and two-moment decision models

DOI10.1016/j.orl.2010.02.002zbMath1188.91056OpenAlexW2084801787MaRDI QIDQ974999

Andreas Wagener, Thomas Eichner

Publication date: 8 June 2010

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2010.02.002

zbMATH Keywords

correlationprudenceconcordance orderelasticity of risk aversion

Mathematics Subject Classification ID

Decision theory (91B06) Utility theory (91B16)

Cites Work

• Unnamed Item
• Proper and standard risk aversion in two-moment decision models
• A characterization of the distributions that imply mean-variance utility functions
• The impact of uncertainty in a class of objective functions
• Parametric characterizations of risk aversion and prudence
• Stochastic ordering of bivariate elliptical distributions
• Multiple Risks and Mean-Variance Preferences
• Optimal Portfolios with One Safe and One Risky Asset: Effects of Changes in Rate of Return and Risk
• Outside Risk Aversion and the Comparative Statics of Increasing Risk in Quasi-Linear Decision Models

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