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The Erroneous Approximation of Expected Utility by Means of a Taylor's Series Expansion: Analytic and Computational Results
3 references·16 citing·48 second hop
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this work references cited by second hop

References

  • 1976Risk Aversion in the Small and in the Large4,655 cited
  • 1970The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments731 cited
  • 1989The Rationale of the Mean-Standard Deviation Analysis, Skewness Preference, and the Demand for Money349 cited

Cited by

  • 2006Optimal Portfolio Allocation under Higher Moments411 cited
  • 2012Mean–variance approximations to expected utility284 cited
  • 2010TRACTABLE ROBUST EXPECTED UTILITY AND RISK MODELS FOR PORTFOLIO OPTIMIZATION131 cited
  • 1985A Simple Econometric Approach for Utility-Based Asset Pricing Models129 cited
  • 2005International Asset Allocation Under Regime Switching, Skew and Kurtosis Preferences129 cited
  • 2012Beyond the Sharpe ratio: An application of the Aumann–Serrano index to performance measurement110 cited
  • 1983Mean-Variance Approximations to Expected Logarithmic Utility89 cited
  • 2015On skewed risks in economic models and experiments88 cited
  • 1995Chapter 3 Capital growth theory69 cited
  • 2009Portfolio selection in stochastic markets with HARA utility functions68 cited
  • 1998A Reexamination of the Relationship Between Preferences and Moment Orderings by Rational Risk-Averse Investors66 cited

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  • 2007A Generalized Extreme Value Approach to Financial Risk Measurement66 cited
  • 2018Harmful diversification: Evidence from alternative investments65 cited
  • 1995Characteristics of Decisions in Decision Analysis Practice57 cited
  • 2009Portfolio selection in multidimensional general and partial moment space56 cited
  • 2025Maintaining E-commerce supply chain viability: Addressing supply risks with a strategic live-streaming channel52 cited