IDEAS home Printed from https://ideas.repec.org/a/spr/joecth/v25y2005i4p1007-1012.html
   My bibliography  Save this article

Comparative statics of properness in two-moment decision models

Author

Listed:
  • Thomas Eichner

Abstract

Properness has been introduced in the expected utility framework and it recently has been transfered to mean-variance utility functions. Here, we show that properness implies the slope of the mean-standard deviation indifference curve being convex in the standard deviation. This indifference curve property allows us to characterize the comparative static effects of changing the background risk and dependency structure in a simple portfolio choice model. Copyright Springer-Verlag Berlin/Heidelberg 2005

Suggested Citation

  • Thomas Eichner, 2005. "Comparative statics of properness in two-moment decision models," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 25(4), pages 1007-1012, June.
    • Handle: RePEc:spr:joecth:v:25:y:2005:i:4:p:1007-1012
    DOI: 10.1007/s00199-004-0490-8
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1007/s00199-004-0490-8
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1007/s00199-004-0490-8?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Thomas Eichner, 2008. "Mean Variance Vulnerability," Management Science, INFORMS, vol. 54(3), pages 586-593, March.
    2. Wing-Keung Wong & Chenghu Ma, 2008. "Preferences over location-scale family," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 37(1), pages 119-146, October.
    3. Thomas Eichner & Andreas Wagener, 2009. "Multiple Risks and Mean-Variance Preferences," Operations Research, INFORMS, vol. 57(5), pages 1142-1154, October.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:joecth:v:25:y:2005:i:4:p:1007-1012. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.