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Comparative risk aversion under background risk revisited

Ohnishi, Masamitsu; Osaki, Yusuke - In: Economics research international (2010), pp. 1-5

Persistent link: https://www.econbiz.de/10009507810

Some properties of subjective probabilities induced by optimal expectations

Iwaki, Hideki; Osaki, Yusuke - In: Finance research letters 7 (2010) 2, pp. 98-102

Persistent link: https://www.econbiz.de/10009272768

Comparative statics and portfolio choices under the phantom decision model

Iwaki, Hideki; Osaki, Yusuke - In: Journal of banking & finance 84 (2017), pp. 1-8

Persistent link: https://www.econbiz.de/10011816832

Portfolio allocation problems between risky and ambiguous assets

Asano, Takao; Osaki, Yusuke - 2020

Persistent link: https://www.econbiz.de/10012165413

Optimal investment under ambiguous technology shocks

Asano, Takao; Osaki, Yusuke - In: European journal of operational research : EJOR 293 (2021) 1, pp. 304-311

Persistent link: https://www.econbiz.de/10012502482

Cross risk apportionment and non-financial correlated background uncertainty

Asano, Takao; Osaki, Yusuke - 2023

Persistent link: https://www.econbiz.de/10014420566

Portfolio Choices and Asset Prices under EUUP : The Comparative Statics Analysis

Iwaki, Hideki; Osaki, Yusuke - 2021

This paper examines the standard static portfolio problem and asset pricing under the Knightian uncertainty or ambiguity. Each investor’s preference is represented by the expected utility with uncertainty probability (EUUP) of Izhakian (2017). First, We show the threshold of an...

Persistent link: https://www.econbiz.de/10014351753