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Decreasing Risk Aversion and Mean-Variance Analysis

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  • Epstein, Larry G

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  • Epstein, Larry G, 1985. "Decreasing Risk Aversion and Mean-Variance Analysis," Econometrica, Econometric Society, vol. 53(4), pages 945-961, July.
    • Handle: RePEc:ecm:emetrp:v:53:y:1985:i:4:p:945-61
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    Cited by:

    1. Chambers, Robert G. & Quiggin, John, 2008. "Generalized Invariant Preferences: Two-parameter Representations of Preferences," Risk and Sustainable Management Group Working Papers 151186, University of Queensland, School of Economics.
    2. Guan, Guohui & Li, Bin, 2022. "Equilibrium investment and reinsurance strategies under smooth ambiguity with a general second-order distribution," Journal of Economic Dynamics and Control, Elsevier, vol. 143(C).
    3. Nakamura, Yutaka, 2015. "Mean-variance utility," Journal of Economic Theory, Elsevier, vol. 160(C), pages 536-556.
    4. Qu, Xiangyu, 2017. "Subjective mean–variance preferences without expected utility," Mathematical Social Sciences, Elsevier, vol. 87(C), pages 31-39.
    5. Coyle, Barry T., 1994. "Duality Models Of Production Under Risk: A Summary Of Results For Several Nonlinear Mean-Variance Models," 1994 Quantifying Long Run Agricultural Risks and Evaluating Farmer Responses Risk, Technical Committee Meeting, March 24-26, 1994, Gulf Shores State Park, Alabama 271556, Regional Research Projects > S-232: Quantifying Long Run Agricultural Risks and Evaluating Farmer Responses to Risk.
    6. Martin Gaynor & Paul Gertler, 1990. "Moral Hazard in Partnerships," NBER Working Papers 3373, National Bureau of Economic Research, Inc.
    7. Marciano Siniscalchi, 2009. "Vector Expected Utility and Attitudes Toward Variation," Econometrica, Econometric Society, vol. 77(3), pages 801-855, May.
    8. Raugh, Michael T. & Seccia, Giulio, 2001. "Mean-variance analysis in temporary equilibrium," Research in Economics, Elsevier, vol. 55(3), pages 331-345, September.
    9. Gourguet, S. & Thébaud, O. & Dichmont, C. & Jennings, S. & Little, L.R. & Pascoe, S. & Deng, R.A. & Doyen, L., 2014. "Risk versus economic performance in a mixed fishery," Ecological Economics, Elsevier, vol. 99(C), pages 110-120.
    10. Lajeri-Chaherli, Fatma, 2003. "Partial derivatives, comparative risk behavior and concavity of utility functions," Mathematical Social Sciences, Elsevier, vol. 46(1), pages 81-99, August.
    11. Subhadip Mukherjee & Soumyatanu Mukherjee & Tapas Mishra & Udo Broll, 2019. "Export investment under uncertainty: a mean-variance decision analysis for Indian manufacturing exporters," Discussion Papers 2019-18, University of Nottingham, GEP.
    12. Chambers, Robert G. & Grant, Simon & Polak, Ben & Quiggin, John, 2014. "A two-parameter model of dispersion aversion," Journal of Economic Theory, Elsevier, vol. 150(C), pages 611-641.
    13. Aivaliotis, Georgios & Palczewski, Jan, 2014. "Investment strategies and compensation of a mean–variance optimizing fund manager," European Journal of Operational Research, Elsevier, vol. 234(2), pages 561-570.
    14. Fatma Lajeri-Chaherli, 2016. "On The Concavity And Quasiconcavity Properties Of ( Σ , Μ ) Utility Functions," Bulletin of Economic Research, Wiley Blackwell, vol. 68(3), pages 287-296, April.
    15. Geiger, Gebhard, 2002. "On the statistical foundations of non-linear utility theory: The case of status quo-dependent preferences," European Journal of Operational Research, Elsevier, vol. 136(2), pages 449-465, January.
    16. Gourieroux, C. & Monfort, A., 2005. "The econometrics of efficient portfolios," Journal of Empirical Finance, Elsevier, vol. 12(1), pages 1-41, January.
    17. Eichner, Thomas & Wagener, Andreas, 2011. "Increases in skewness and three-moment preferences," Mathematical Social Sciences, Elsevier, vol. 61(2), pages 109-113, March.
    18. Thomas Eichner & Andreas Wagener, 2011. "Portfolio allocation and asset demand with mean-variance preferences," Theory and Decision, Springer, vol. 70(2), pages 179-193, February.
    19. D. Johnstone, 2007. "The Value of a Probability Forecast from Portfolio Theory," Theory and Decision, Springer, vol. 63(2), pages 153-203, September.
    20. Eichner, Thomas & Wagener, Andreas, 2012. "Tempering effects of (dependent) background risks: A mean-variance analysis of portfolio selection," Journal of Mathematical Economics, Elsevier, vol. 48(6), pages 422-430.
    21. Júnior, Antonio Marcos Duarte, 1997. "A Framework for the Active Management of a Global Currency Fund," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 17(2), November.

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