Increases in risk aversion and the distribution of portfolio payoffs
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- Elie Bouri & Rangan Gupta & Chi Keung Marco Lau & David Roubaud, 2019. "Risk Aversion and Bitcoin Returns in Normal, Bull, and Bear Markets," Working Papers 201927, University of Pretoria, Department of Economics.
- Bernard, Carole & Chen, Jit Seng & Vanduffel, Steven, 2015. "Rationalizing investors’ choices," Journal of Mathematical Economics, Elsevier, vol. 59(C), pages 10-23.
- Dejian Tian & Weidong Tian, 2016. "Comparative statics under κ-ambiguity for log-Brownian asset prices," International Journal of Economic Theory, The International Society for Economic Theory, vol. 12(4), pages 361-378, December.
More about this item
KeywordsRisk aversion; Portfolio theory; Stochastic dominance; Complete markets; Two-fund separation;
- D33 - Microeconomics - - Distribution - - - Factor Income Distribution
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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