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Alternative measures for modeling risk and expected utility theory : (risk adjustment, measurement and attitude)

Seber, Akin - In: International journal of economics and finance 6 (2014) 9, pp. 151-157

Persistent link: https://www.econbiz.de/10010417168

Portability vs Asset Price and Contribution Risk : A Continuous-Time Expected Utility Comparisons of DB and DC Pension Plans

Chen, An - 2013

portability risks, whereas DC plans bear asset and contribution risk. We model these diff erences explicitly in this paper and …

Persistent link: https://www.econbiz.de/10013089892

The opportunity cost of mean-variance choice under estimation risk

Simaan, Yusif E. - In: European journal of operational research : EJOR 234 (2014) 2, pp. 382-391

Persistent link: https://www.econbiz.de/10010356752

Mean-variance approximations to expected utility

Markowitz, Harry - In: European journal of operational research : EJOR 234 (2014) 2, pp. 346-355

Persistent link: https://www.econbiz.de/10010356759

Portability, salary and asset price risk : a continuous-time expected utility comparison of DB and DC pension plans

Chen, An; Uzelac, Filip - In: Risks : open access journal 3 (2015) 1, pp. 77-102

beneficiary: a defined benefit (DB) and a defined contribution (DC) plan. While salary risk is the main common risk factor in DB … price risk. We model these tradeoffs explicitly in this paper and compare these two plans in a utility-based framework. Our … of risk aversion, which is inconsistent with the existing literature. …

Persistent link: https://www.econbiz.de/10010509440

Collective risk-taking decisions with heterogeneous beliefs

Gollier, Christian - 2003

degree of pessimism of the representative agent is the mean of the individual ones weighted by their index of absolute risk …

Persistent link: https://www.econbiz.de/10011507677

A theoretical assessment on optimal asset allocations in insurance industry

Jarraya, Bilel; Bouri, Abdelfettah - In: International journal of finance & banking studies : JJFBS 2 (2013) 4, pp. 30-44

Persistent link: https://www.econbiz.de/10010532785

Diversification and portfolio theory: a review

Koumou, Gilles Boevi - In: Financial markets and portfolio management 34 (2020) 3, pp. 267-312

Persistent link: https://www.econbiz.de/10012289665

Decision-making under risk : when is utility-maximization equivalent to risk-minimization?

Ruscitti, Francesco; Dubey, Ram Sewak; Laguzzi, Giorgio - In: Theory and decision : an international journal for … 97 (2024) 1, pp. 23-38

Persistent link: https://www.econbiz.de/10015126871

Utility maximization, duality, price for risk, semimartingale represenations & continuous time CAPM

Leitner, Johannes - 2001 - 1. Aufl.

Persistent link: https://www.econbiz.de/10001626257