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More on Properness: The Case of Mean-Variance Preferences · Study

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ArticleMore on Properness: The Case of Mean-Variance Preferences

Fatma Lajeri2002

Article2002

More on Properness: The Case of Mean-Variance Preferences

30 citations·0/0 files stored·The Geneva Risk and Insurance Review

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Decision-Making and Behavioral Economics Risk and Portfolio Optimization Probability and Risk Models

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References

1936The General Theory of Employment, Interest and Money.1936The General Theory of Employment, Interest and Money, by John Maynard Keynes 1989Precautionary Saving in the Small and in the Large 1992The Buffer-Stock Theory of Saving: Some Macroeconomic Evidence 1991Standard Risk Aversion 1963Risk and uncertainty: a fallacy of large numbers 1987Proper Risk Aversion 1996Buffer-Stock Saving and the Life Cycle/Permanent Income Hypothesis

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2018Mean–variance, mean–VaR, and mean–CVaR models for portfolio selection with background risk 2010An analysis of portfolio selection with background risk 2004Proper and Standard Risk Aversion in Two-Moment Decision Models 2003Partial derivatives, comparative risk behavior and concavity of utility functions 2021Optimal portfolio choices to split orders during supply disruptions: An application of sport's principle for routine sourcing 2018Toward a Systematic Approach to the Economic Effects of Risk: Characterizing Utility Functions

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Year2002

Typearticle

Published2002-06-01

VenueThe Geneva Risk and Insurance Review

ISSN-L1554-964X

Languageen

Citations30

Files0 public / 0

ShelfDecision-Making and Behavioral Economics

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doi10.1023/a:1020681408308

openalex_workW2082499599

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2004Relative Risk Aversion, Relative Prudence and Comparative Statics under Uncertainty: The Case of (mu,sigma)-Preferences

2004Comparative statics of properness in two-moment decision models