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Asset diversification in Yaari's dual theory

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  • Hadar, Josef
  • Seo, Tae Kun

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  • Hadar, Josef & Seo, Tae Kun, 1995. "Asset diversification in Yaari's dual theory," European Economic Review, Elsevier, vol. 39(6), pages 1171-1180, June.
    • Handle: RePEc:eee:eecrev:v:39:y:1995:i:6:p:1171-1180
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    References listed on IDEAS

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    1. Yaari, Menahem E, 1987. "The Dual Theory of Choice under Risk," Econometrica, Econometric Society, vol. 55(1), pages 95-115, January.
    2. Demers, Fanny & Demers, Michel, 1990. "Price uncertainty, the competitive firm and the dual theory of choice under risk," European Economic Review, Elsevier, vol. 34(6), pages 1181-1199, September.
    3. Brumelle, Shelby L., 1974. "When Does Diversification between Two Investments Pay?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 9(3), pages 473-483, June.
    4. Quiggin, John, 1982. "A theory of anticipated utility," Journal of Economic Behavior & Organization, Elsevier, vol. 3(4), pages 323-343, December.
    5. Larry G. Epstein & Stephen M. Tanny, 1980. "Increasing Generalized Correlation: A Definition and Some Economic Consequences," Canadian Journal of Economics, Canadian Economics Association, vol. 13(1), pages 16-34, February.
    6. Josef Hadar & William R. Russell & Tae Kun Seo, 1977. "Gains from Diversification," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 44(2), pages 363-368.
    7. Hadar, Josef & Seo, Tae Kun, 1990. "The Effects of Shifts in a Return Distribution on Optimal Portfolios," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 31(3), pages 721-736, August.
    8. Samuelson, Paul A., 1967. "General Proof that Diversification Pays*," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 2(1), pages 1-13, March.
    9. Rothschild, Michael & Stiglitz, Joseph E., 1971. "Increasing risk II: Its economic consequences," Journal of Economic Theory, Elsevier, vol. 3(1), pages 66-84, March.
    10. Hadar, Josef & Russell, William R., 1974. "Diversification of interdependent prospects," Journal of Economic Theory, Elsevier, vol. 7(3), pages 231-240, March.
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    Cited by:

    1. Marisa Cenci & Massimiliano Corradini & Andrea Gheno, 2005. "Dynamic portfolio selection in a dual expected utility theory framework," Departmental Working Papers of Economics - University 'Roma Tre' 0056, Department of Economics - University Roma Tre.
    2. Volij, Oscar & Winter, Eyal, 2002. "On risk aversion and bargaining outcomes," Games and Economic Behavior, Elsevier, vol. 41(1), pages 120-140, October.
    3. Wakker, Peter P. & Zank, Horst, 2002. "A simple preference foundation of cumulative prospect theory with power utility," European Economic Review, Elsevier, vol. 46(7), pages 1253-1271, July.
    4. Marisa Cenci & Floriana Filippini, 2005. "Portfolio Selection with minimum transaction lots: an approach with dual expected utility," Departmental Working Papers of Economics - University 'Roma Tre' 0050, Department of Economics - University Roma Tre.

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