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Portfolio characterization of risk aversion

Werner, Jan - 1992

Persistent link: https://www.econbiz.de/10000845849

A shrinkage approach to model uncertainty and asset allocation

Wang, Zhenyu - In: The review of financial studies 18 (2005) 2, pp. 673-705

Persistent link: https://www.econbiz.de/10002882106

Portfolio characterization of risk aversion

Werner, Jan; Wang, Zhenyu - University of Bonn, Germany - 1992

Persistent link: https://www.econbiz.de/10005028268

A simple axiomatization of risk-averse expected utility

Werner, Jan - In: Economics letters 88 (2005) 1, pp. 73-77

Persistent link: https://www.econbiz.de/10002880872

Participation in risk sharing under ambiguity

Werner, Jan - In: Theory and decision : an international journal for … 90 (2021) 3/4, pp. 507-519

Persistent link: https://www.econbiz.de/10012583639

Risk and risk aversion when states of nature matter

Werner, Jan - In: Economic theory : official journal of the Society for … 41 (2009) 2, pp. 231-246

Persistent link: https://www.econbiz.de/10003874064

Speculative trade under ambiguity

Werner, Jan - In: Journal of economic theory 199 (2022), pp. 1-4

Persistent link: https://www.econbiz.de/10013193330

Liquidity and asset prices in rational expectations equilibrium with ambiguous information

Ozsoylev, Han N.; Werner, Jan - In: Economic theory : official journal of the Society for … 48 (2011) 2/3, pp. 469-491

Persistent link: https://www.econbiz.de/10009314923

Efficient allocations under ambiguity

Strzalecki, Tomasz; Werner, Jan - In: Journal of economic theory 146 (2011) 3, pp. 1173-1194

Persistent link: https://www.econbiz.de/10009261011

Efficient Allocations Under Ambiguity

Strzalecki, Tomasz - 2013

An important implication of the expected utility model under risk aversion is that if agents have the same probability belief, then the efficient allocations under uncertainty are comonotone with the aggregate endowment, and if their beliefs are concordant, then the efficient allocations are...

Persistent link: https://www.econbiz.de/10013075808