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Notes and Comments: Measures of risk attitude: correspondences between mean-variance and expected-utility approaches

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  • Thomas Eichner
  • Andreas Wagener

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  • 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;Associazione per la Matematica, vol. 28(1), pages 53-65, June.
    • Handle: RePEc:spr:decfin:v:28:y:2005:i:1:p:53-65
    DOI: 10.1007/s10203-005-0050-0
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    References listed on IDEAS

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    1. 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, April.
    2. Caballe, Jordi & Pomansky, Alexey, 1996. "Mixed Risk Aversion," Journal of Economic Theory, Elsevier, vol. 71(2), pages 485-513, November.
    3. Hawawini, Gabriel, 1978. "A mean-standard deviation exposition of the theory of the firm under uncertainty," MPRA Paper 10148, University Library of Munich, Germany.
    4. Lars Tyge Nielsen & Fatma Lajeri, 2000. "Parametric characterizations of risk aversion and prudence," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 15(2), pages 469-476.
    5. Kimball, Miles S, 1990. "Precautionary Saving in the Small and in the Large," Econometrica, Econometric Society, vol. 58(1), pages 53-73, January.
    6. Wagener, Andreas, 2002. "Prudence and risk vulnerability in two-moment decision models," Economics Letters, Elsevier, vol. 74(2), pages 229-235, January.
    7. Eeckhoudt, Louis & Gollier, Christian & Schlesinger, Harris, 1996. "Changes in Background Risk and Risk-Taking Behavior," Econometrica, Econometric Society, vol. 64(3), pages 683-689, May.
    8. Meyer, Jack, 1987. "Two-moment Decision Models and Expected Utility Maximization," American Economic Review, American Economic Association, vol. 77(3), pages 421-430, June.
    9. John S. Chipman, 1973. "The Ordering of Portfolios in Terms of Mean and Variance," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 40(2), pages 167-190.
    10. Kihlstrom, Richard E & Romer, David & Williams, Steve, 1981. "Risk Aversion with Random Initial Wealth," Econometrica, Econometric Society, vol. 49(4), pages 911-920, June.
    11. Alvin K. Klevorick, 1973. "A Note on "The Ordering of Portfolios in Terms of Mean and Variance"," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 40(2), pages 293-296.
    12. Owen, Joel & Rabinovitch, Ramon, 1983. "On the Class of Elliptical Distributions and Their Applications to the Theory of Portfolio Choice," Journal of Finance, American Finance Association, vol. 38(3), pages 745-752, June.
    13. Menezes, C F & Hanson, D L, 1970. "On the Theory of Risk Aversion," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 11(3), pages 481-487, October.
    14. Cheng, Hsueh-Cheng & Magill, Michael J P & Shafer, Wayne J, 1987. "Some Results on Comparative Statics under Uncertainty," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 28(2), pages 493-507, June.
    15. 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.
    16. Baron, David P, 1977. "On the Utility Theoretic Foundations of Mean-Variance Analysis," Journal of Finance, American Finance Association, vol. 32(5), pages 1683-1697, December.
    17. Chamberlain, Gary, 1983. "A characterization of the distributions that imply mean--Variance utility functions," Journal of Economic Theory, Elsevier, vol. 29(1), pages 185-201, February.
    18. Thomas Eichner & Andreas Wagener, 2003. "More on parametric characterizations of risk aversion and prudence," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 21(4), pages 895-900, June.
    19. Thomas Eichner & Andreas Wagener, 2003. "Variance Vulnerability, Background Risks, and Mean-Variance Preferences," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 28(2), pages 173-184, December.
    20. Choi, Gyemyung & Kim, Iltae & Snow, Arthur, 2001. "Comparative Statics Predictions for Changes in Uncertainty in the Portfolio and Savings Problems," Bulletin of Economic Research, Wiley Blackwell, vol. 53(1), pages 61-72, January.
    21. Wagener, Andreas, 2003. "Comparative statics under uncertainty: The case of mean-variance preferences," European Journal of Operational Research, Elsevier, vol. 151(1), pages 224-232, November.
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    Cited by:

    1. Xu Guo & Andreas Wagener & Wing-Keung Wong & Lixing Zhu, 2018. "The two-moment decision model with additive risks," Risk Management, Palgrave Macmillan, vol. 20(1), pages 77-94, February.

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