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Risk aversion, prudence, and asset allocation : a review and some new developments

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  • Denuit, Michel
  • Eeckhoudt, Louis

Abstract

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  • Denuit, Michel & Eeckhoudt, Louis, 2016. "Risk aversion, prudence, and asset allocation : a review and some new developments," LIDAM Reprints ISBA 2016009, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvar:2016009
    Note: In : Theory and Decision : an international journal for multidisciplinary advances in decision sciences, vol. 80, no. 2, p. 227-243 (2016)
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    Cited by:

    1. Denuit, Michel & Trufin, Julien & Verdebout, Thomas, 2021. "Testing for more positive expectation dependence with application to model comparison," LIDAM Discussion Papers ISBA 2021021, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    2. Denuit, Michel & Trufin, Julien & Verdebout, Thomas, 2021. "Testing for more positive expectation dependence with application to model comparison," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 163-172.
    3. Nakamura, Kazuki, 2023. "How does a change in downside risk affect optimal demand for a risky asset?: Comparative statics on Tail Conditional Expectation," Finance Research Letters, Elsevier, vol. 58(PD).
    4. Marzia De Donno & Mario Menegatti, 2020. "Some conditions for the equivalence between risk aversion, prudence and temperance," Theory and Decision, Springer, vol. 89(1), pages 39-60, July.

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