Yitzhaki, Shlomo; Lambert, Peter - In: Review of Quantitative Finance and Accounting 43 (2014) 4, pp. 855-860
We consider decision-making under risk in which random events affect the value of the portfolio multiplicatively, rather than additively. In this case, a higher variability in the rate of return not only is associated with a higher risk, a bad property, but also engenders a higher expected...