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Lower partial moments as measures of perceived risk: An experimental study

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  • Unser, Matthias
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Economic Psychology.

    Volume (Year): 21 (2000)
    Issue (Month): 3 (June)
    Pages: 253-280

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    Handle: RePEc:eee:joepsy:v:21:y:2000:i:3:p:253-280

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

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    1. Bawa, Vijay S., 1975. "Optimal rules for ordering uncertain prospects," Journal of Financial Economics, Elsevier, vol. 2(1), pages 95-121, March.
    2. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, 03.
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    4. Tan, Kai-Jiaw, 1991. "Risk return and the three-moment capital asset pricing model: another look," Journal of Banking & Finance, Elsevier, vol. 15(2), pages 449-460, April.
    5. Fred D. Arditti, 1967. "Risk And The Required Return On Equity," Journal of Finance, American Finance Association, vol. 22(1), pages 19-36, 03.
    6. Jean, William H., 1975. "Comparison of Moment and Stochastic Dominance Ranking Methods," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 10(01), pages 151-161, March.
    7. Haim Levy, 1992. "Stochastic Dominance and Expected Utility: Survey and Analysis," Management Science, INFORMS, vol. 38(4), pages 555-593, April.
    8. David W. Conrath, 1973. "From Statistical Decision Theory to Practice: Some Problems with the Transition," Management Science, INFORMS, vol. 19(8), pages 873-883, April.
    9. Daniel Kahneman & Jack L. Knetsch & Richard H. Thaler, 1991. "Anomalies: The Endowment Effect, Loss Aversion, and Status Quo Bias," Journal of Economic Perspectives, American Economic Association, vol. 5(1), pages 193-206, Winter.
    10. Hanoch, G & Levy, Haim, 1969. "The Efficiency Analysis of Choices Involving Risk," Review of Economic Studies, Wiley Blackwell, vol. 36(107), pages 335-46, July.
    11. Mao, James C T & Helliwell, John F, 1969. "Investment Decisions under Uncertainty: Theory and Practice," Journal of Finance, American Finance Association, vol. 24(2), pages 323-38, May.
    12. Frisch, Deborah, 1993. "Reasons for Framing Effects," Organizational Behavior and Human Decision Processes, Elsevier, vol. 54(3), pages 399-429, April.
    13. Franke, Guenther & Weber, Martin, 1997. "Risk-Value Efficient Portfolios and Asset Pricing," Sonderforschungsbereich 504 Publications 97-32, Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim.
    14. Cunningham, William H & Anderson, W Thomas, Jr & Murphy, John H, 1974. "Are Students Real People?," The Journal of Business, University of Chicago Press, vol. 47(3), pages 399-409, July.
    15. Cooley, Philip L, 1977. "A Multidimensional Analysis of Institutional Investor Perception of Risk," Journal of Finance, American Finance Association, vol. 32(1), pages 67-78, March.
    16. Harlow, W. V. & Rao, Ramesh K. S., 1989. "Asset Pricing in a Generalized Mean-Lower Partial Moment Framework: Theory and Evidence," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(03), pages 285-311, September.
    17. Rothschild, Michael & Stiglitz, Joseph E., 1970. "Increasing risk: I. A definition," Journal of Economic Theory, Elsevier, vol. 2(3), pages 225-243, September.
    18. Menezes, C & Geiss, C & Tressler, J, 1980. "Increasing Downside Risk," American Economic Review, American Economic Association, vol. 70(5), pages 921-32, December.
    19. Elke U. Weber & Richard A. Milliman, 1997. "Perceived Risk Attitudes: Relating Risk Perception to Risky Choice," Management Science, INFORMS, vol. 43(2), pages 123-144, February.
    20. Scott, Robert C & Horvath, Philip A, 1980. " On the Direction of Preference for Moments of Higher Order Than the Variance," Journal of Finance, American Finance Association, vol. 35(4), pages 915-19, September.
    21. Francis, Jack Clark, 1975. "Skewness and Investors' Decisions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 10(01), pages 163-172, March.
    22. Hadar, Josef & Russell, William R, 1969. "Rules for Ordering Uncertain Prospects," American Economic Review, American Economic Association, vol. 59(1), pages 25-34, March.
    23. Machina, Mark J & Pratt, John W, 1997. "Increasing Risk: Some Direct Constructions," Journal of Risk and Uncertainty, Springer, vol. 14(2), pages 103-27, March.
    24. Langewisch, Andrew & Choobineh, Fred, 1996. "Stochastic dominance tests for ranking alternatives under ambiguity," European Journal of Operational Research, Elsevier, vol. 95(1), pages 139-154, November.
    25. Peter C. Fishburn, 1984. "Foundations of Risk Measurement. I. Risk As Probable Loss," Management Science, INFORMS, vol. 30(4), pages 396-406, April.
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    Cited by:
    1. Ahmedov, Zafarbek & Woodard, Joshua D., 2012. "Do RIN Mandates and Blender's Tax Credit Affect Blenders' Hedging Strategies?," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124980, Agricultural and Applied Economics Association.
    2. Schade, Christian & Steul, Martina & Schröder, Andreas, 2002. "Starting points' effects on risk-taking behavior," SFB 373 Discussion Papers 2002,15, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    3. Sanglestsawai, Santi & Rejesus, Roderick M. & Yorobe, Jose M., Jr., 2012. "Production Risk, Farmer Welfare, and Bt Corn in the Philippines," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124237, Agricultural and Applied Economics Association.
    4. Udo Ebert, 2005. "Measures of downside risk," Economics Bulletin, AccessEcon, vol. 4(16), pages 1-9.
    5. Veld, Chris & Veld-Merkoulova, Yulia V., 2008. "The risk perceptions of individual investors," Journal of Economic Psychology, Elsevier, vol. 29(2), pages 226-252, April.
    6. S. M. Sunoj & S. S. Maya, 2008. "The role of lower partial moments in stochastic modeling," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(2), pages 223-242.
    7. Mattos, Fabio & Garcia, Philip & Nelson, Carl H., 2005. "Relaxing Standard Hedging Assumptions in the Presence of Downside Risk," 2005 Conference, April 18-19, 2005, St. Louis, Missouri 19040, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    8. Robert A. Olsen, 2010. "Toward a theory of behavioral finance: implications from the natural sciences," Qualitative Research in Financial Markets, Emerald Group Publishing, vol. 2(2), pages 100-128, October.
    9. Udo Ebert, 2005. "Measures of downside risk," Economics Bulletin, AccessEcon, vol. 4(16), pages 1-9.
    10. Bertrand, Philippe & Prigent, Jean-luc, 2011. "Omega performance measure and portfolio insurance," Journal of Banking & Finance, Elsevier, vol. 35(7), pages 1811-1823, July.
    11. Jules Sadefo Kamdem, 2011. "Downside Risk And Kappa Index Of Non-Gaussian Portfolio With Lpm," Working Papers hal-00733043, HAL.
    12. Sjöberg, Lennart & Engelberg, Elisabeth, 2006. "Attitudes to economic risk-taking, sensation seeking and values of business students specializing in finance," Working Paper Series in Business Administration 2006:3, Stockholm School of Economics, revised 15 Oct 2006.

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