Operations research, 2009-09, Vol.57 (5), p.1142-1154
2009
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Details
- Autor(en) / Beteiligte
- Titel
- Multiple Risks and Mean-Variance Preferences
- Ist Teil von
- Operations research, 2009-09, Vol.57 (5), p.1142-1154
- Ort / Verlag
- Hanover, MD: INFORMS
- Erscheinungsjahr
- 2009
- Quelle
- EBSCOhost Business Source Ultimate
- Beschreibungen/Notizen
- We analyze comparative static effects under uncertainty when a decision maker has mean-variance preferences and faces a generic, quasi-linear decision problem with both an endogenous risk and a background risk. In terms of mean-variance preferences, we fully characterize the effects of changes in the location, scale, and concordance parameters of the stochastic environment on optimal risk taking. Presupposing compatibility between the mean-variance and the expected-utility approach, we then translate these mean-variance properties into their analogues for von Neumann-Morgenstern utility functions.
- Sprache
- Englisch
- Identifikatoren
- ISSN: 0030-364XeISSN: 1526-5463DOI: 10.1287/opre.1090.0692Titel-ID: cdi_informs_primary_10_1287_opre_1090_0692
- Format
- –
- Schlagworte
- Applied sciences, Comparative analysis, Decision analysis, Decision theory. Utility theory, Economic uncertainty, Exact sciences and technology, Expected utility, Expected values, Investment risk, Lotteries, Operational research and scientific management, Operational research. Management science, Random variables, risk, Risk aversion, Risk aversion preference, Risk management, Risk taking, Risk theory. Actuarial science, Standard deviation, Studies, Utility functions