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Eichner, Thomas - In: Management Science 54 (2008) 3, pp. 586-593

risk aversion, risk vulnerability, properness, and standardness. All of the abovementioned concepts are characterized in …This paper transfers the concept of Gollier and Pratt's (Gollier, C., J. W. Pratt. 1996. Risk vulnerability and the … tempering effect of background risk. Econometrica 64 1109-1123) risk vulnerability into mean variance preferences. Risk …

Persistent link: https://www.econbiz.de/10009203694

Tempering effects of (dependent) background risks: A mean-variance analysis of portfolio selection

Eichner, Thomas; Wagener, Andreas - In: Journal of Mathematical Economics 48 (2012) 6, pp. 422-430

notions such as risk vulnerability, properness or standardness. …

Persistent link: https://www.econbiz.de/10010875260

Approximate utility

Dybvig, Philip H.; Li, Shu - In: Finance research letters 69 (2024) 1, pp. 1-5

Persistent link: https://www.econbiz.de/10015078525

Putting risk in its proper place

Eeckhoudt, Louis; Schlesinger, Harris - 2005

This paper examines preferences towards particular classes of lottery pairs. We show how concepts such as prudence and temperance can be fully characterized by a preference relation over these lotteries. If preferences are defined in an expected-utility framework with differentiable utility, the...

Persistent link: https://www.econbiz.de/10010271070

Putting Risk in its Proper Place

Eeckhoudt, Louis; Schlesinger, Harris - CESifo - 2005

Persistent link: https://www.econbiz.de/10005765912

“Probability of risk aversion” and other applications of derivatives of the certainty equivalent

McElroy, F. - In: International Review of Economics 54 (2007) 4, pp. 429-444

Persistent link: https://www.econbiz.de/10004965798

Decision-making under risk in the market for illegal drugs : a supply-side analysis

Dalal, Ardeshir J.; Raju, Sudhakar - In: Bulletin of economic research 77 (2025) 2, pp. 135-147

Persistent link: https://www.econbiz.de/10015396255

Alternative views on the link between risk aversion and diminishing marginal utility of wealt

Menzl, Vojtěch - In: European financial and accounting journal : EFAJ 16 (2021) 2, pp. 51-72

Although the link between risk aversion and diminishing marginal utility of wealth is academically well established, theoretical discussions concerning its empirical validity remain. The presented, review-type paper aims to briefly examine theoretical roots responsible for the different views on...

Persistent link: https://www.econbiz.de/10012807566

The optimal spending rate versus the expected real return of a sovereign wealth fund

Aase, Knut K.; Bjerksund, Petter - In: Journal of risk and financial management : JRFM 14 (2021) 9, pp. 1-35

We consider a sovereign wealth fund that invests broadly in the international financial markets. The influx to the fund has stopped. We adopt the life cycle model and demonstrate that the optimal spending rate from the fund is significantly less than the fund's expected real rate of return. The...

Persistent link: https://www.econbiz.de/10012628390

The optimal spending rate versus the expected real return of a sovereign wealth fund

Aase, Knut K.; Bjerksund, Petter - 2021

Persistent link: https://www.econbiz.de/10012489878