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Prudence and risk vulnerability in two-moment decision models

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  • Wagener, Andreas

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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 74 (2002)
Issue (Month): 2 (January)
Pages: 229-235

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Handle: RePEc:eee:ecolet:v:74:y:2002:i:2:p:229-235

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Web page: http://www.elsevier.com/locate/ecolet

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References

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  1. Gollier, Christian & Pratt, John W, 1996. "Risk Vulnerability and the Tempering Effect of Background Risk," Econometrica, Econometric Society, vol. 64(5), pages 1109-23, September.
  2. Sinn, Hans-Werner, 1990. " Expected Utility, mu-sigma Preferences, and Linear Distribution Classes: A Further Result," Journal of Risk and Uncertainty, Springer, vol. 3(3), pages 277-81, September.
  3. EECKHOUDT, Louis & Christian GOLLIER & Harris SCHLESINGER, 1994. "Changes in Background Risk and Risk Taking Behavior," Working Papers 005, Risk and Insurance Archive.
  4. Kimball, Miles S, 1993. "Standard Risk Aversion," Econometrica, Econometric Society, vol. 61(3), pages 589-611, May.
  5. Miles S. Kimball, 1989. "Precautionary Saving in the Small and in the Large," NBER Working Papers 2848, National Bureau of Economic Research, Inc.
  6. Lajeri, Fatma & Nielsen, Lars Tyge, 1997. "Parametric Characterizations of Risk Aversion and Prudence," CEPR Discussion Papers 1650, C.E.P.R. Discussion Papers.
  7. Meyer, Jack, 1987. "Two-moment Decision Models and Expected Utility Maximization," American Economic Review, American Economic Association, vol. 77(3), pages 421-30, June.
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Cited by:
  1. Andreas Wagener, 2005. "Linear risk tolerance and mean-variance preferences," Economics Bulletin, AccessEcon, vol. 4(1), pages 1-8.
  2. Broll, Udo & Gilroy, Bernard Michael & Wahl, Jack E., 2003. "Information, unternehmensinterne Kommunikation und Risikopolitik
    [Information, intra-firm communication and risk policy]
    ," MPRA Paper 21731, University Library of Munich, Germany.
  3. Thomas Eichner & Andreas Wagener, 2004. "Relative risk aversion, relative prudence and comparative statics under uncertainty: The case of (μ, σ)-preferences," Bulletin of Economic Research, Wiley Blackwell, vol. 56(2), pages 159-170, 04.
  4. repec:ebl:ecbull:v:6:y:2004:i:5:p:1-7 is not listed on IDEAS
  5. Broll, Udo & Wong, Wing-Keung & Wu, Mojia, 2013. "Banking Firm and Two-Moment Decision Making," MPRA Paper 51687, University Library of Munich, Germany.
  6. Udo Broll & Jack E. Wahl, 2004. "Optimal hedge ratio and elasticity of risk aversion," Economics Bulletin, AccessEcon, vol. 6(5), pages 1-7.
  7. Thomas Eichner & Andreas Wagener, 2005. "Notes and Comments: Measures of risk attitude: correspondences between mean-variance and expected-utility approaches," Decisions in Economics and Finance, Springer, vol. 28(1), pages 53-65, 06.
  8. repec:ebl:ecbull:v:4:y:2005:i:1:p:1-8 is not listed on IDEAS
  9. Guo, Xu & Wong, Wing-Keung & Zhu, Lixing, 2013. "An analysis of portfolio selection with multiplicative background risk," MPRA Paper 51331, University Library of Munich, Germany.
  10. 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.

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