Portfolio allocation and asset demand with mean-variance preferences
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Volume (Year): 70 (2011)
Issue (Month): 2 (February)
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- 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.
- Lajeri, Fatma & Nielsen, Lars Tyge, 1997.
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- 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.
- Hadar, Josef & Seo, Tae Kun, 1990. "The Effects of Shifts in a Return Distribution on Optimal Portfolios," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 31(3), pages 721-36, August.
- Meyer, Jack & Rasche, Robert H, 1992. "Sufficient Conditions for Expected Utility to Imply Mean-Standard Deviation Rankings: Empirical Evidence Concerning the Location and Scale Condition," Economic Journal, Royal Economic Society, vol. 102(410), pages 91-106, January.
- Meyer, Jack, 1987. "Two-moment Decision Models and Expected Utility Maximization," American Economic Review, American Economic Association, vol. 77(3), pages 421-30, June.
- Ormiston, Michael B & Schlee, Edward E, 2001. "Mean-Variance Preferences and Investor Behaviour," Economic Journal, Royal Economic Society, vol. 111(474), pages 849-61, October.
- 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.
- Larry G. Epstein & Stephen M. Tanny, 1980. "Increasing Generalized Correlation: A Definition and Some Economic Consequences," Canadian Journal of Economics, Canadian Economics Association, vol. 13(1), pages 16-34, February.
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