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  • Search: subject:"Mean-Variance Preferences"
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Year of publication
Subject
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Mean-variance preferences 9 Entscheidung unter Risiko 5 Portfolio selection 5 Portfolio-Management 5 Auctions 4 Auktionstheorie 4 Contests 4 Decision under risk 4 Spieltheorie 4 Theorie 4 Theory 4 Life insurance 3 Mean-Variance preferences 3 Präferenztheorie 3 Risikoaversion 3 Risk aversion 3 Theory of preferences 3 mean-variance preferences 3 monotone mean-variance preferences 3 Ambiguity 2 Ambiguity aversion 2 Asset pricing 2 Auction theory 2 Constant proportion portfolio insurance 2 Customer value 2 Decision under uncertainty 2 Dynamic asset allocation 2 Dynamic hybrid 2 Elasticity of risk aversion 2 Entscheidung unter Unsicherheit 2 Erwartungsnutzen 2 Expected utility 2 Financial investment 2 Game theory 2 Guaranteed interest rates 2 HARA utility 2 Insurance 2 Insurance demand 2 Intertemporal hedging 2 Kapitalanlage 2
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Online availability
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Free 11 Undetermined 10
Type of publication
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Article 14 Book / Working Paper 11
Type of publication (narrower categories)
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Article in journal 8 Aufsatz in Zeitschrift 8 Working Paper 3 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1
Language
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English 14 Undetermined 11
Author
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Klose, Bettina 6 Schweinzer, Paul 6 Gatzert, Nadine 3 Maccheroni, Fabio 3 Marinacci, Massimo 3 Rustichini, Aldo 3 André, Eric 2 Bohnert, Alexander 2 Born, Patricia 2 Eichner, Thomas 2 Lioui, Abraham 2 Wagener, Andreas 2 Wakai, Katsutoshi 2 André, Éric 1 Bohm, Volker 1 Cerný, Ales 1 Chiarella, Carl 1 De Gennaro Aquino, Luca 1 Lajeri-Chaherli, Fatma 1 McLaren, Keith R. 1 Sornette, Didier 1 Strub, Moris S. 1 Taboga, Marco 1 Černý, Aleš 1
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Institution
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Collegio Carlo Alberto, Università degli Studi di Torino 2 Department of Econometrics and Business Statistics, Monash Business School 1 Department of Economics and Related Studies, University of York 1 Finance Discipline Group, Business School 1 HAL 1 Institut für Volkswirtschaftslehre, Wirtschaftswissenschaftliche Fakutät 1
Published in...
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Carlo Alberto Notebooks 2 Insurance / Mathematics & economics 2 Working Paper 2 AMSE Working Papers 1 Discussion Papers / Department of Economics and Related Studies, University of York 1 ECON - Working Papers 1 Economic theory 1 Economics Letters 1 Economics letters 1 European journal of operational research : EJOR 1 Finance Research Letters 1 Finance research letters 1 Insurance: Mathematics and Economics 1 Journal of Economic Dynamics and Control 1 Journal of Mathematical Economics 1 Journal of economic dynamics & control 1 Journal of mathematical economics 1 Monash Econometrics and Business Statistics Working Papers 1 Research Paper Series / Finance Discipline Group, Business School 1 Theory and Decision 1 Working Papers / HAL 1 Working paper series / University of Zurich, Department of Economics 1
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Source
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RePEc 14 ECONIS (ZBW) 9 EconStor 2
Showing 1 - 10 of 25
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Auctioning risk : the all-pay auction under mean-variance preferences
Klose, Bettina; Schweinzer, Paul - In: Economic theory 73 (2022) 4, pp. 881-916
Persistent link: https://www.econbiz.de/10013277412
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Portfolio selection with exploration of new investment assets
De Gennaro Aquino, Luca; Sornette, Didier; Strub, Moris S. - In: European journal of operational research : EJOR 310 (2023) 2, pp. 773-792
Persistent link: https://www.econbiz.de/10014340777
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An analysis of transaction costs in participating life insurance under mean-variance preferences
Gatzert, Nadine - In: Insurance / Mathematics & economics 85 (2019), pp. 185-197
Persistent link: https://www.econbiz.de/10011990634
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Auctioning risk: The all-pay auction under mean-variance preferences
Klose, Bettina; Schweinzer, Paul - 2014
We analyse the all-pay auction with incomplete information and variance-averse bidders. We characterise the symmetric equilibrium for general distributions of valuations and any number of bidders. Variance aversion is a sufficient assumption to predict that high-valuation bidders increase their...
Persistent link: https://www.econbiz.de/10011282465
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Crisp Fair Gambles
André, Eric - HAL - 2014
Axiomatic models of decision under ambiguity with a non-unique prior allow for the existence of Crisp Fair Gambles: acts whose expected utility is nul whichever of the priors is used. But, in these models, the DM has to be indifferent to the addition of such acts. Their existence is then at odds...
Persistent link: https://www.econbiz.de/10010933812
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Crisp Fair Gambles
André, Éric - 2014
Axiomatic models of decision under ambiguity with a non-unique prior allow for the existence of Crisp Fair Gambles: acts whose expected utility is nul whichever of the priors is used. But, in these models, the DM has to be indifferent to the addition of such acts. Their existence is then at odds...
Persistent link: https://www.econbiz.de/10010795571
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Cover Image
Auctioning risk: The all-pay auction under mean-variance preferences
Klose, Bettina; Schweinzer, Paul - 2012
We develop the idea of using mean-variance preferences for the analysis of the first-price, all-pay auction. On the … bidding side, we characterise the optimal strategy in symmetric all-pay auctions under mean-variance preferences for general … account of the variance of revenue, he may find it preferable to attract bidders endowed with mean-variance preferences. …
Persistent link: https://www.econbiz.de/10010316830
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Cover Image
Auctioning risk: The all-pay auction under mean-variance preferences
Klose, Bettina; Schweinzer, Paul - Institut für Volkswirtschaftslehre, … - 2012
We analyse the all-pay auction with incomplete information and variance-averse bidders. We characterise the symmetric equilibrium for general distributions of valuations and any number of bidders. Variance aversion is a sufficient assumption to predict that high-valuation bidders increase their...
Persistent link: https://www.econbiz.de/10010817294
Saved in:
Cover Image
Auctioning risk: The all-pay auction under mean-variance preferences
Klose, Bettina; Schweinzer, Paul - Department of Economics and Related Studies, University … - 2012
We develop the idea of using mean-variance preferences for the analysis of the first-price, all-pay auction. On the … bidding side, we characterise the optimal strategy in symmetric allpay auctions under mean-variance preferences for general … account of the variance of revenue, he may find it preferable to attract bidders endowed with mean-variance preferences. …
Persistent link: https://www.econbiz.de/10010630691
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Crisp monetary acts in multiple-priors models of decision under ambiguity
André, Eric - In: Journal of mathematical economics 67 (2016), pp. 153-161
Persistent link: https://www.econbiz.de/10011666160
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