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Risk, Return, Skewness and Preference

Citations

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Cited by:

  1. Louis Anthony (Tony) Cox, Jr, 2008. "Why Risk Is Not Variance: An Expository Note," Risk Analysis, John Wiley & Sons, vol. 28(4), pages 925-928, August.
  2. Michel M. Denuit & Louis Eeckhoudt, 2010. "A General Index of Absolute Risk Attitude," Management Science, INFORMS, vol. 56(4), pages 712-715, April.
  3. Liu, Liping, 2004. "A new foundation for the mean-variance analysis," European Journal of Operational Research, Elsevier, vol. 158(1), pages 229-242, October.
  4. Foster, Jarred & Krawczyk, Jacek B, 2013. "Sensitivity of cautious-relaxed investment policies to target variation," Working Paper Series 18792, Victoria University of Wellington, School of Economics and Finance.
  5. Matteo Benuzzi & Matteo Ploner, 2024. "Skewness-seeking behavior and financial investments," Annals of Finance, Springer, vol. 20(1), pages 129-165, March.
  6. Liu, Liping, 1999. "Approximate portfolio analysis," European Journal of Operational Research, Elsevier, vol. 119(1), pages 35-49, November.
  7. Yi, Eojin & Ahn, Kwangwon & Choi, M.Y., 2022. "Cryptocurrency: Not far from equilibrium," Technological Forecasting and Social Change, Elsevier, vol. 177(C).
  8. Homm, Ulrich & Pigorsch, Christian, 2012. "Beyond the Sharpe ratio: An application of the Aumann–Serrano index to performance measurement," Journal of Banking & Finance, Elsevier, vol. 36(8), pages 2274-2284.
  9. Sebastian Ebert & Daniel Wiesen, 2011. "Testing for Prudence and Skewness Seeking," Management Science, INFORMS, vol. 57(7), pages 1334-1349, July.
  10. Li, Yaohan & Dong, You & Guo, Hongyuan, 2023. "Copula-based multivariate renewal model for life-cycle analysis of civil infrastructure considering multiple dependent deterioration processes," Reliability Engineering and System Safety, Elsevier, vol. 231(C).
  11. Georges Hübner & Thomas Lejeune, 2015. "Portfolio choice and investor preferences : A semi-parametric approach based on risk horizon," Working Paper Research 289, National Bank of Belgium.
  12. Jean-Michel Courtault, 1993. "Substitution et complémentarité des actifs financiers: le cas Moyenne-Variance," Working Papers halshs-00447527, HAL.
  13. Ebert, Sebastian & Wiesen, Daniel, 2009. "An experimental methodology testing for prudence and third-order preferences," Bonn Econ Discussion Papers 21/2009, University of Bonn, Bonn Graduate School of Economics (BGSE).
  14. Briec, Walter & Kerstens, Kristiaan, 2010. "Portfolio selection in multidimensional general and partial moment space," Journal of Economic Dynamics and Control, Elsevier, vol. 34(4), pages 636-656, April.
  15. Patrick Roger, 2011. "Mixed risk aversion and preference for risk disaggregation: a story of moments," Theory and Decision, Springer, vol. 70(1), pages 27-44, January.
  16. Wagener, Andreas, 2003. "Comparative statics under uncertainty: The case of mean-variance preferences," European Journal of Operational Research, Elsevier, vol. 151(1), pages 224-232, November.
  17. Christodoulakis, George & Peel, David, 2006. "The relationship between expected utility and higher moments for distributions captured by the Gram-Charlier class," Finance Research Letters, Elsevier, vol. 3(4), pages 273-276, December.
  18. Walter Briec & Kristiaan Kerstens & Octave Jokung, 2007. "Mean-Variance-Skewness Portfolio Performance Gauging: A General Shortage Function and Dual Approach," Management Science, INFORMS, vol. 53(1), pages 135-149, January.
  19. Shlomo Yitzhaki & Peter Lambert, 2014. "Is higher variance necessarily bad for investment?," Review of Quantitative Finance and Accounting, Springer, vol. 43(4), pages 855-860, November.
  20. Fischer, Thomas & Lundtofte, Frederik, 2020. "Unequal returns: Using the Atkinson index to measure financial risk," Journal of Banking & Finance, Elsevier, vol. 116(C).
  21. Hübner, Georges & Lejeune, Thomas, 2021. "Mental accounts with horizon and asymmetry preferences," Economic Modelling, Elsevier, vol. 103(C).
  22. Woodruff, Joshua & Dimitrov, Nedialko B., 2018. "Optimal discretization for decision analysis," Operations Research Perspectives, Elsevier, vol. 5(C), pages 288-305.
  23. Ebert, Sebastian, 2015. "On skewed risks in economic models and experiments," Journal of Economic Behavior & Organization, Elsevier, vol. 112(C), pages 85-97.
  24. Cuizhen Niu & Wing-Keung Wong & Qunfang Xu, 2017. "Kappa ratios and (higher-order) stochastic dominance," Risk Management, Palgrave Macmillan, vol. 19(3), pages 245-253, August.
  25. Zhu, Min, 2013. "Return distribution predictability and its implications for portfolio selection," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 209-223.
  26. Foster, Jarred & Krawczyk, Jacek B, 2013. "Sensitivity of cautious-relaxed investment policies to target variation," Working Paper Series 2972, Victoria University of Wellington, School of Economics and Finance.
  27. repec:ebl:ecbull:v:7:y:2007:i:2:p:1-9 is not listed on IDEAS
  28. W. Henry Chiu, 2005. "Skewness Preference, Risk Aversion, and the Precedence Relations on Stochastic Changes," Management Science, INFORMS, vol. 51(12), pages 1816-1828, December.
  29. Courtois, Olivier Le & Xu, Xia, 2023. "Semivariance below the maximum: Assessing the performance of economic and financial prospects," Journal of Economic Behavior & Organization, Elsevier, vol. 209(C), pages 185-199.
  30. Eichner, Thomas & Wagener, Andreas, 2012. "Tempering effects of (dependent) background risks: A mean-variance analysis of portfolio selection," Journal of Mathematical Economics, Elsevier, vol. 48(6), pages 422-430.
  31. Dertwinkel-Kalt, Markus & Ebert, Sebastian & Köster, Mats, 2023. "On correlated lotteries in economic applications," Journal of Economic Behavior & Organization, Elsevier, vol. 215(C), pages 292-306.
  32. Kim, Hyeonoh & Ha, Chang Yong & Ahn, Kwangwon, 2022. "Preference heterogeneity in Bitcoin and its forks' network," Chaos, Solitons & Fractals, Elsevier, vol. 164(C).
  33. Andrea Gamba & Francesco Rossi, 1998. "A three-moment based portfolio selection model," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 21(1), pages 25-48, June.
  34. David A. Peel & Davind Law, 2009. "An Explanation of Optimal Each-Way Bets based on Non-Expected Utility Theory," Journal of Gambling Business and Economics, University of Buckingham Press, vol. 3(2), pages 15-35, September.
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