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Increasing risk, decreasing absolute risk aversion and diversification

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  • Kroll, Yoram
  • Leshno, Moshe
  • Levy, Haim
  • Spector, Yishay

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  • Kroll, Yoram & Leshno, Moshe & Levy, Haim & Spector, Yishay, 1995. "Increasing risk, decreasing absolute risk aversion and diversification," Journal of Mathematical Economics, Elsevier, vol. 24(6), pages 537-556.
    • Handle: RePEc:eee:mateco:v:24:y:1995:i:6:p:537-556
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    References listed on IDEAS

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    1. Diamond, Peter A. & Stiglitz, Joseph E., 1974. "Increases in risk and in risk aversion," Journal of Economic Theory, Elsevier, vol. 8(3), pages 337-360, July.
    2. Peter C. Fishburn & R. Burr Porter, 1976. "Optimal Portfolios with One Safe and One Risky Asset: Effects of Changes in Rate of Return and Risk," Management Science, INFORMS, vol. 22(10), pages 1064-1073, June.
    3. Rothschild, Michael & Stiglitz, Joseph E., 1971. "Increasing risk II: Its economic consequences," Journal of Economic Theory, Elsevier, vol. 3(1), pages 66-84, March.
    4. Atkinson, Anthony B., 1970. "On the measurement of inequality," Journal of Economic Theory, Elsevier, vol. 2(3), pages 244-263, September.
    5. Levy, Haim, 1977. "The definition of risk: An extension," Journal of Economic Theory, Elsevier, vol. 14(1), pages 232-234, February.
    6. G. Hanoch & H. Levy, 1969. "The Efficiency Analysis of Choices Involving Risk," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 36(3), pages 335-346.
    7. J. Tobin, 1958. "Liquidity Preference as Behavior Towards Risk," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 25(2), pages 65-86.
    8. Bawa, Vijay S., 1975. "Optimal rules for ordering uncertain prospects," Journal of Financial Economics, Elsevier, vol. 2(1), pages 95-121, March.
    9. Josef Hadar & Tae Kun Seo, 1988. "Asset Proportions in Optimal Portfolios," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 55(3), pages 459-468.
    10. Rothschild, Michael & Stiglitz, Joseph E., 1970. "Increasing risk: I. A definition," Journal of Economic Theory, Elsevier, vol. 2(3), pages 225-243, September.
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    1. Thomas Hammerschmidt & Hans‐Peter Zeitler & Reiner Leidl, 2004. "A utility‐theoretic approach to the aggregation of willingness to pay measured in decomposed scenarios: development and empirical test," Health Economics, John Wiley & Sons, Ltd., vol. 13(4), pages 345-361, April.
    2. Muller, Alfred, 1998. "Comparing risks with unbounded distributions," Journal of Mathematical Economics, Elsevier, vol. 30(2), pages 229-239, September.
    3. Haar, Lawrence & Gregoriou, Andros, 2021. "Risk management and market conditions," International Review of Financial Analysis, Elsevier, vol. 78(C).
    4. Iltae Kim & Suyeol Ryu, 2006. "The Comparative Statics for Linear Payoffs and Increases in Risk," Korean Economic Review, Korean Economic Association, vol. 22, pages 437-459.
    5. Bienz, Carsten & Thorburn, Karin S. & Walz, Uwe, 2023. "Fund ownership, wealth, and risk-taking: Evidence on private equity managers," Journal of Financial Intermediation, Elsevier, vol. 54(C).

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