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Compatibility of expected utility and μ/σ approaches to risk for a class of non location–scale distributions

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  • Gerry Boyle
  • Denis Conniffe

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  • Gerry Boyle & Denis Conniffe, 2008. "Compatibility of expected utility and μ/σ approaches to risk for a class of non location–scale distributions," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 35(2), pages 343-366, May.
    • Handle: RePEc:spr:joecth:v:35:y:2008:i:2:p:343-366
    DOI: 10.1007/s00199-007-0244-5
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    References listed on IDEAS

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    1. Pratt, John W & Zeckhauser, Richard J, 1987. "Proper Risk Aversion," Econometrica, Econometric Society, vol. 55(1), pages 143-154, January.
    2. Levy, Haim, 1974. "The Rationale of the Mean-Standard Deviation Analysis: Comment," American Economic Review, American Economic Association, vol. 64(3), pages 434-441, June.
    3. Kimball, Miles S, 1993. "Standard Risk Aversion," Econometrica, Econometric Society, vol. 61(3), pages 589-611, May.
    4. Bierwag, G O, 1974. "The Rationale of the Mean-Standard Deviation Analysis: Comment," American Economic Review, American Economic Association, vol. 64(3), pages 431-433, June.
    5. 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.
    6. Borch, Karl, 1974. "The Rationale of the Mean-Standard Deviation Analysis: Comment," American Economic Review, American Economic Association, vol. 64(3), pages 428-430, June.
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    Cited by:

    1. Homm, Ulrich & Pigorsch, Christian, 2012. "Beyond the Sharpe ratio: An application of the Aumann–Serrano index to performance measurement," Journal of Banking & Finance, Elsevier, vol. 36(8), pages 2274-2284.

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    More about this item

    Keywords

    Expected utility; Mean variance analysis; Location–scale distributions; D81; G11;
    All these keywords.

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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