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The comparative statics on asset prices based on bull and bear market measure

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  • Ohnishi, Masamitsu
  • Osaki, Yusuke

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  • Ohnishi, Masamitsu & Osaki, Yusuke, 2006. "The comparative statics on asset prices based on bull and bear market measure," European Journal of Operational Research, Elsevier, vol. 168(2), pages 291-300, January.
    • Handle: RePEc:eee:ejores:v:168:y:2006:i:2:p:291-300
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    References listed on IDEAS

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    1. Masaaki Kijima & Masamitsu Ohnishi, 1999. "Stochastic orders and their applications in financial optimization," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 50(2), pages 351-372, October.
    2. Ian Jewitt, 1989. "Choosing Between Risky Prospects: The Characterization of Comparative Statics Results, and Location Independent Risk," Management Science, INFORMS, vol. 35(1), pages 60-70, January.
    3. Ian Jewitt, 1987. "Risk Aversion and the Choice Between Risky Prospects: The Preservation of Comparative Statics Results," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 54(1), pages 73-85.
    4. Paul R. Milgrom, 1981. "Good News and Bad News: Representation Theorems and Applications," Bell Journal of Economics, The RAND Corporation, vol. 12(2), pages 380-391, Autumn.
    5. Rothschild, Michael & Stiglitz, Joseph E., 1971. "Increasing risk II: Its economic consequences," Journal of Economic Theory, Elsevier, vol. 3(1), pages 66-84, March.
    6. Susan Athey, 2002. "Monotone Comparative Statics under Uncertainty," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 117(1), pages 187-223.
    7. LeRoy,Stephen F. & Werner,Jan, 2014. "Principles of Financial Economics," Cambridge Books, Cambridge University Press, number 9781107024120, February.
    8. Masaaki Kijima & Masamitsu Ohnishi, 1996. "Portfolio Selection Problems Via The Bivariate Characterization Of Stochastic Dominance Relations1," Mathematical Finance, Wiley Blackwell, vol. 6(3), pages 237-277, July.
    9. Machina, Mark J, 1982. ""Expected Utility" Analysis without the Independence Axiom," Econometrica, Econometric Society, vol. 50(2), pages 277-323, March.
    10. Rothschild, Michael & Stiglitz, Joseph E., 1970. "Increasing risk: I. A definition," Journal of Economic Theory, Elsevier, vol. 2(3), pages 225-243, September.
    11. Machina, Mark J, 1987. "Choice under Uncertainty: Problems Solved and Unsolved," Journal of Economic Perspectives, American Economic Association, vol. 1(1), pages 121-154, Summer.
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    Cited by:

    1. Osaki, Yusuke & Quiggin, John, 2007. "A Risk-neutral Characterization of Optimization and Pessimism and its Applications," Risk and Sustainable Management Group Working Papers 151180, University of Queensland, School of Economics.
    2. Osaki, Yusuke & Quiggin, John, 2008. "Stochastic dominance representation of optimistic belief: Theory and applications," Economics Letters, Elsevier, vol. 101(3), pages 275-278, December.

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