메뉴 건너뛰기




Volumn 151, Issue 1, 2003, Pages 224-232

Comparative statics under uncertainty: The case of mean-variance preferences

Author keywords

Choice under uncertainty; Decision analysis; Mean variance analysis; Risk preferences; Utility theory

Indexed keywords

DECISION THEORY; PROBABILITY DISTRIBUTIONS; RISK ASSESSMENT;

EID: 0043092389     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0377-2217(02)00599-4     Document Type: Article
Times cited : (15)

References (27)
  • 1
    • 0001518153 scopus 로고
    • Existence theorems in the capital asset pricing model
    • Allingham M. Existence theorems in the capital asset pricing model. Econometrica. 59:1991;1169-1174.
    • (1991) Econometrica , vol.59 , pp. 1169-1174
    • Allingham, M.1
  • 3
    • 0002093948 scopus 로고
    • A note on uncertainty and indifference curves
    • Borch K. A note on uncertainty and indifference curves. Review of Economic Studies. 36:1969;1-4.
    • (1969) Review of Economic Studies , vol.36 , pp. 1-4
    • Borch, K.1
  • 4
    • 0041160490 scopus 로고
    • Risk, return, skewness and preference
    • Brockett P.L., Kahane Y. Risk, return, skewness and preference. Management Science. 38:1992;851-866.
    • (1992) Management Science , vol.38 , pp. 851-866
    • Brockett, P.L.1    Kahane, Y.2
  • 5
    • 0000252138 scopus 로고
    • A characterization of the distributions that imply mean-variance utility functions
    • Chamberlain G. A characterization of the distributions that imply mean-variance utility functions. Journal of Economic Theory. 29:1983;185-201.
    • (1983) Journal of Economic Theory , vol.29 , pp. 185-201
    • Chamberlain, G.1
  • 6
    • 0002618781 scopus 로고
    • The ordering of portfolios in terms of mean and variance
    • Chipman J.S. The ordering of portfolios in terms of mean and variance. Review of Economic Studies. 40:1973;167-190.
    • (1973) Review of Economic Studies , vol.40 , pp. 167-190
    • Chipman, J.S.1
  • 7
    • 0030351631 scopus 로고    scopus 로고
    • Changes in background risk and risk taking behaviour
    • Eeckhoudt L., Gollier C., Schlesinger H. Changes in background risk and risk taking behaviour. Econometrica. 64:1996;683-689.
    • (1996) Econometrica , vol.64 , pp. 683-689
    • Eeckhoudt, L.1    Gollier, C.2    Schlesinger, H.3
  • 8
    • 0041763124 scopus 로고    scopus 로고
    • More on parametric characterizations of risk aversion and prudence
    • forthcoming
    • Eichner, T., Wagener, A., 2001. More on parametric characterizations of risk aversion and prudence. Economic Theory, forthcoming.
    • (2001) Economic Theory
    • Eichner, T.1    Wagener, A.2
  • 10
    • 0030367193 scopus 로고    scopus 로고
    • Risk vulnerability and the tempering effect of background risk
    • Gollier C., Pratt J.W. Risk vulnerability and the tempering effect of background risk. Econometrica. 64:1996;1109-1123.
    • (1996) Econometrica , vol.64 , pp. 1109-1123
    • Gollier, C.1    Pratt, J.W.2
  • 13
    • 0001348874 scopus 로고
    • A mean-standard deviation exposition of the theory of the firm under uncertainty: A pedagogical note
    • Hawawini G.A. A mean-standard deviation exposition of the theory of the firm under uncertainty: A pedagogical note. American Economic Review. 68:1978;194-202.
    • (1978) American Economic Review , vol.68 , pp. 194-202
    • Hawawini, G.A.1
  • 14
    • 0002541131 scopus 로고
    • Precautionary saving in the small and in the large
    • Kimball M.S. Precautionary saving in the small and in the large. Econometrica. 58:1990;53-73.
    • (1990) Econometrica , vol.58 , pp. 53-73
    • Kimball, M.S.1
  • 15
    • 0000211703 scopus 로고
    • Standard risk aversion
    • Kimball M.S. Standard risk aversion. Econometrica. 61:1993;589-611.
    • (1993) Econometrica , vol.61 , pp. 589-611
    • Kimball, M.S.1
  • 16
    • 0034350189 scopus 로고    scopus 로고
    • Parametric characterizations of risk aversion and prudence
    • Lajeri F., Nielsen L.T. Parametric characterizations of risk aversion and prudence. Economic Theory. 15:2000;469-476.
    • (2000) Economic Theory , vol.15 , pp. 469-476
    • Lajeri, F.1    Nielsen, L.T.2
  • 17
    • 0041410551 scopus 로고
    • The demand for assets under conditions of risk
    • Levy H. The demand for assets under conditions of risk. Journal of Finance. 28:1973;79-96.
    • (1973) Journal of Finance , vol.28 , pp. 79-96
    • Levy, H.1
  • 19
    • 84926271769 scopus 로고
    • The interdependence of individual portfolio decisions and the demand for insurance
    • Mayers D., Smith C.W. The interdependence of individual portfolio decisions and the demand for insurance. Journal of Political Economy. 91:1983;304-311.
    • (1983) Journal of Political Economy , vol.91 , pp. 304-311
    • Mayers, D.1    Smith, C.W.2
  • 20
    • 0000026586 scopus 로고
    • Two-moment decision models and expected utility maximization
    • Meyer J. Two-moment decision models and expected utility maximization. American Economic Review. 77:1987;421-430.
    • (1987) American Economic Review , vol.77 , pp. 421-430
    • Meyer, J.1
  • 21
    • 0034789150 scopus 로고    scopus 로고
    • Mean-variance preferences and investor behaviour
    • Ormiston M.B., Schlee E.E. Mean-variance preferences and investor behaviour. Economic Journal. 111:2001;849-861.
    • (2001) Economic Journal , vol.111 , pp. 849-861
    • Ormiston, M.B.1    Schlee, E.E.2
  • 22
    • 0000557004 scopus 로고
    • On the class of elliptical distributions and their applications to the theory of portfolio choice
    • Owen J., Rabinovitch R. On the class of elliptical distributions and their applications to the theory of portfolio choice. Journal of Finance. 38:1983;745-752.
    • (1983) Journal of Finance , vol.38 , pp. 745-752
    • Owen, J.1    Rabinovitch, R.2
  • 25
    • 0010048394 scopus 로고
    • Expected utility, μ-σ preferences and linear distribution classes: A further result
    • Sinn H.-W. Expected utility, μ-σ preferences and linear distribution classes: A further result Journal of Risk and Uncertainty. 3:1990;277-281.
    • (1990) Journal of Risk and Uncertainty , vol.3 , pp. 277-281
    • Sinn, H.-W.1
  • 26
    • 0043266215 scopus 로고
    • The effects on optimal portfolios of shifts on a risky asset: The case of dependent risky returns
    • L. Peccati, & M. Virén. Heidelberg: Physica-Verlag
    • Tibiletti L. The effects on optimal portfolios of shifts on a risky asset: The case of dependent risky returns. Peccati L., Virén M. Financial Modelling. Recent Research. 1994;197-208 Physica-Verlag, Heidelberg.
    • (1994) Financial Modelling. Recent Research , pp. 197-208
    • Tibiletti, L.1
  • 27
    • 84963108002 scopus 로고
    • Liquidity preference as behaviour towards risk
    • Tobin J. Liquidity preference as behaviour towards risk. Review of Economic Studies. 25:1958;68-85.
    • (1958) Review of Economic Studies , vol.25 , pp. 68-85
    • Tobin, J.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.