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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
Risk in Transport Investments
TL;DR: In this paper, the authors discuss how the standard Cost-Benefit Analysis should be modified in order to take risk (and uncertainty) into account, and propose different approaches used in finance (Value at Risk, Conditional Value at risk, Downside Risk Measures, and Efficiency Ratio) as useful tools to model the impact of risk in project evaluation.
Loss aversion around the world: Empirical evidence from pension funds
TL;DR: In this article, Wang et al. proposed a novel method to estimate loss aversion together with risk aversion and subjective probability weighting in a reference-dependent utility, using multiple asset allocations in the 31 OECD pension funds.
30
A consumption CAPM with a reference level
Renê Garcia Junior
- 30 Mar 2006
TL;DR: In this article, an intertemporal asset pricing model was proposed in which a representative consumer maximizes expected utility derived from both the ratio of his consumption to some reference level and this level itself.
30
Teoría prospectiva: un análisis de la decisión bajo riesgo
Daniel Kahneman,Amos Tversky +1 more
TL;DR: In this paper, a modelo alternativo llamado teoria prospectiva is presented for the toma of decisiones bajo riesgo, in which the efecto de certidumbre contribuye to the aversion del risk and a atraccion to the risk in case of perdidas seguras.
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Portfolio optimization under lower partial moments in emerging electricity markets: Evidence from Turkey
Fazıl Gökgöz,Mete Emin Atmaca +1 more
TL;DR: In this article, a comprehensive comparison of mean-variance, down-side, and semivariance methods for optimization in electricity markets and the corresponding methodologies to maximize the return while minimizing risk is presented.
30
References
•Book
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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