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Mean-Risk Analysis with Risk Associated with Below-Target Returns
About: This article is published in The American Economic Review. The article was published on 01 Sep 1975. and is currently open access. The article focuses on the topics: Risk analysis & Downside risk.
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Citations
The axiomatic basis of risk–value models
TL;DR: It will be shown that a weakened variant of the Independence axiom allows to characterize the considered class of risk–value models which implies that they should be integrated in the literature on non-expected utility theory.
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On the Compatibility of Value at Risk, Other Risk Concepts, and Expected Utility Maximization
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The collected papers of Richard A. Musgrave: A review article
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Partial Moment Momentum
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References
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Theory of Games and Economic Behavior
John von Neumann,Oskar Morgenstern +1 more
- 01 Jan 1944
TL;DR: Theory of games and economic behavior as mentioned in this paper is the classic work upon which modern-day game theory is based, and it has been widely used to analyze a host of real-world phenomena from arms races to optimal policy choices of presidential candidates, from vaccination policy to major league baseball salary negotiations.
The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets
TL;DR: In this article, the problem of selecting optimal security portfolios by risk-averse investors who have the alternative of investing in risk-free securities with a positive return or borrowing at the same rate of interest and who can sell short if they wish is discussed.
10.5K
Risk Aversion in the Small and in the Large
TL;DR: In this article, a measure of risk aversion in the small, the risk premium or insurance premium for an arbitrary risk, and a natural concept of decreasing risk aversion are discussed and related to one another.
5.6K
A Simplified Model for Portfolio Analysis
TL;DR: Preliminary evidence suggests that the relatively few parameters used by the model can lead to very nearly the same results obtained with much larger sets of relationships among securities, as well as the possibility of low-cost analysis.
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