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A class of non-expected utility risk measures and implications for asset allocations

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  • van der Hoek, John
  • Sherris, Michael
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    File URL: http://www.sciencedirect.com/science/article/B6V8N-42DX4MF-7/2/b77ac4980ec2354319bbb8aa5e1f1886
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    Bibliographic Info

    Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

    Volume (Year): 28 (2001)
    Issue (Month): 1 (February)
    Pages: 69-82

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    Handle: RePEc:eee:insuma:v:28:y:2001:i:1:p:69-82

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    Web page: http://www.elsevier.com/locate/inca/505554

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    1. Amos Tversky & Daniel Kahneman, 1979. "Prospect Theory: An Analysis of Decision under Risk," Levine's Working Paper Archive 7656, David K. Levine.
    2. Machina, Mark J, 1987. "Choice under Uncertainty: Problems Solved and Unsolved," Journal of Economic Perspectives, American Economic Association, American Economic Association, vol. 1(1), pages 121-54, Summer.
    3. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, American Finance Association, vol. 7(1), pages 77-91, 03.
    4. Wang, Shaun S. & Young, Virginia R. & Panjer, Harry H., 1997. "Axiomatic characterization of insurance prices," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 21(2), pages 173-183, November.
    5. Yaari, Menahem E, 1987. "The Dual Theory of Choice under Risk," Econometrica, Econometric Society, Econometric Society, vol. 55(1), pages 95-115, January.
    6. Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 9(3), pages 203-228.
    7. Machina, Mark J, 1982. ""Expected Utility" Analysis without the Independence Axiom," Econometrica, Econometric Society, Econometric Society, vol. 50(2), pages 277-323, March.
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    Cited by:
    1. de Jong, Frank, 2008. "Pension fund investments and the valuation of liabilities under conditional indexation," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 42(1), pages 1-13, February.
    2. U Schmidt & H Zank, 2002. "A Simple Model of Cumulative Prospect Theory," The School of Economics Discussion Paper Series, Economics, The University of Manchester 0206, Economics, The University of Manchester.
    3. Muermann, Alexander & Mitchell, Olivia S. & Volkman, Jacqueline M., 2006. "Regret, portfolio choice, and guarantees in defined contribution schemes," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 39(2), pages 219-229, October.

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