Approximation methods for ranking risky investment alternatives

David Bigman

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Decision-Making and Behavioral Economics Capital Investment and Risk Analysis Risk and Portfolio Optimization

Abstract

The paper develops and illustrates the application of criteria for ranking risky investment alternatives that are based on their certainly equivalent (cE) outcomes and determines expressions for approximating the cE outcomes by means of the central moments of their distribution. The paper develops criteria on the basis of the CE outcomes for determining a complete ranking of risky investment alternatives that can represent the choice of many - though not all - risk-averse agents.

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1970On the measurement of inequality 1959Portfolio Selection: Efficient Diversification of Investments 1964Risk Aversion in the Small and in the Large 1976Risk Aversion in the Small and in the Large 1958Liquidity Preference as Behavior Towards Risk 1962Portfolio Selection: Efficient Diversification of Investments.1966Aspects of the Theory of Risk-Bearing.1969Rules for Ordering Uncertain Prospects

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