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Safety-First and Expected Utility Maximization in Mean-Standard Deviation Portfolio Analysis

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  • Pyle, David H
  • Turnovsky, Stephen J

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  • Pyle, David H & Turnovsky, Stephen J, 1970. "Safety-First and Expected Utility Maximization in Mean-Standard Deviation Portfolio Analysis," The Review of Economics and Statistics, MIT Press, vol. 52(1), pages 75-81, February.
  • Handle: RePEc:tpr:restat:v:52:y:1970:i:1:p:75-81
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    Cited by:

    1. Dohi, T. & Tanaka, H. & Kaio, N. & Osaki, S., 1995. "Alternative growth versus security in continuous dynamic trading," European Journal of Operational Research, Elsevier, vol. 84(2), pages 265-278, July.
    2. Roy S., 1996. "Theory of dynamic portfolio choice for survival under uncertainty," Mathematical Social Sciences, Elsevier, vol. 31(1), pages 61-62, February.
    3. William E. Foster & Gordon C. Rausser, 1991. "Farmer Behavior under Risk of Failure," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 73(2), pages 276-288.
    4. Haley, M. Ryan & McGee, M. Kevin, 2011. ""KLICing" there and back again: Portfolio selection using the empirical likelihood divergence and Hellinger distance," Journal of Empirical Finance, Elsevier, vol. 18(2), pages 341-352, March.
    5. Grauer, Robert R., 2013. "Limiting losses may be injurious to your wealth," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5088-5100.
    6. Eidman, Vernon R., 1989. "Quantifying And Managing Risk In Agriculture," Staff Papers 13646, University of Minnesota, Department of Applied Economics.
    7. Gren, Ing-Marie, 2012. "Economic value of land use for carbon sequestration," Department of Economics publications 9328, Swedish University of Agricultural Sciences, Department of Economics.
    8. Gren, Ing-Marie & Carlsson, Mattias & Elofsson, Katarina & Munnich, Miriam, 2012. "Stochastic carbon sinks for combating carbon dioxide emissions in the EU," Energy Economics, Elsevier, vol. 34(5), pages 1523-1531.
    9. Adelman, Irma & Hihn, J. Michael & Head, Thomas, 1981. "An Approach to Policy Evaluation in the Egyptian Agricultural Sector: Simulation of Egyptian Village Economy," Working Papers 232858, University of California, Davis, Agricultural Development Systems: Egypt Project.
    10. Atwood, Joseph A. & Buschena, David E., 2003. "Evaluating the magnitudes of financial transactions costs on risk behavior," Agricultural Systems, Elsevier, vol. 75(2-3), pages 235-249.
    11. Li, Zhongfei & Yao, Jing & Li, Duan, 2010. "Behavior patterns of investment strategies under Roy's safety-first principle," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(2), pages 167-179, May.
    12. Sattinger, Michael, 2011. "The Markov consumption problem," Journal of Mathematical Economics, Elsevier, vol. 47(4-5), pages 409-416.
    13. Arnade, Carlos Anthony & Cooper, Joseph C., 2012. "Acreage Response under Varying Risk Preferences," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 37(3), December.
    14. Celikyurt, U. & Ozekici, S., 2007. "Multiperiod portfolio optimization models in stochastic markets using the mean-variance approach," European Journal of Operational Research, Elsevier, vol. 179(1), pages 186-202, May.
    15. Sharma, Sankalp & Schoengold, Karina, 2016. "A Comparison of Stated and Revealed Risk Preferences using Safety-First," 2016 Annual Meeting, July 31-August 2, 2016, Boston, Massachusetts 236126, Agricultural and Applied Economics Association.
    16. Levy, Haim & Levy, Moshe, 2009. "The safety first expected utility model: Experimental evidence and economic implications," Journal of Banking & Finance, Elsevier, vol. 33(8), pages 1494-1506, August.
    17. Sergiy Gerasymchuk, 2007. "Mean-Variance Portfolio Selection with Reference Dependent Preferences," Working Papers 150, Department of Applied Mathematics, Università Ca' Foscari Venezia.
    18. Gren, Ing-Marie & Carlsson, Mattias, 2013. "Economic value of carbon sequestration in forests under multiple sources of uncertainty," Journal of Forest Economics, Elsevier, vol. 19(2), pages 174-189.
    19. Itami, Hiroyuki, 1974. "Parametric Evaluation and Mean-Standard Deviation Analysis in Stochastic Programming Models," Hitotsubashi Journal of commerce and management, Hitotsubashi University, vol. 9(1), pages 62-82, July.
    20. repec:ags:ucdegw:232858 is not listed on IDEAS
    21. Gren, Ing-Marie Gren & Elofsson, Katarina, 2013. "Value of land use for carbon sequestration: An application to the EU climate policy," Working Paper Series 2012:4, Swedish University of Agricultural Sciences, Department Economics.
    22. Gren, Ing-Marie & Baxter, Peter & Mikusinski, Grzegorz & Possingham, Hugh, 2014. "Cost-effective biodiversity restoration with uncertain growth in forest habitat quality," Journal of Forest Economics, Elsevier, vol. 20(1), pages 77-92.
    23. Cruz, Elmar Rodrigues da & Porto, Vitor Hugo da Fonseca, 1988. "Simplified Risk Analysis in Agricultural Extension," Agricultural Economics of Agricultural Economists, International Association of Agricultural Economists, vol. 1(4), January.

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