Add to ORKGWe study various decision problems regarding short-term investments in risky assets whose returns evolve continuously in time. We show that in each problem, all risk-averse decision makers have the same (problem-dependent) ranking over short-term risky assets. Moreover, in each of these problems, the ranking is represented by the same risk index as in the case of CARA utility agents and normally distributed risky assets
This paper studies the long-term asset allocation problem of an investor with different risk aversio...
This paper studies the impact of loss aversion on decisions regarding the allocation of wealth betwe...
Define the riskiness of a gamble as the reciprocal of the absolute risk aversion (ARA) of an individ...
We study various decision problems regarding short-term investments in risky assets whose returns ev...
It is said that risky asset h acceptance dominates risky asset k if any decision maker who rejects t...
We study Aumann and Serrano’s (2008) risk index for sums of gambles that are not dependent. If the d...
We show that if an agent is uncertain about the precise form of his utility function, his actual rel...
For a long investment period investment consultants usually recommend a larger proportion of risky a...
To investigate the effect of time horizon on investment behavior, this paper reports the results of ...
We consider decision-makers facing a risky wealth prospect. The probability distribution depends on ...
Improvement in Economic Position through Risk-Taking: An Attempt to Map Intertemporal Risk-Consumpti...
We study the risk index of an additive gamble proposed in Aumann and Serrano (2008).We establish a g...
We derive a closed-form expression capturing the degree of Relative Risk Aversion (RRA) of investors...
Introductory investments courses revolve around Harry Markowitz’s modern portfolio theory and Willia...
Thesis (Ph.D.)--University of Washington, 2014Essays on Risk and Uncertainty: Insights from Behavior...
This paper studies the long-term asset allocation problem of an investor with different risk aversio...
This paper studies the impact of loss aversion on decisions regarding the allocation of wealth betwe...
Define the riskiness of a gamble as the reciprocal of the absolute risk aversion (ARA) of an individ...
We study various decision problems regarding short-term investments in risky assets whose returns ev...
It is said that risky asset h acceptance dominates risky asset k if any decision maker who rejects t...
We study Aumann and Serrano’s (2008) risk index for sums of gambles that are not dependent. If the d...
We show that if an agent is uncertain about the precise form of his utility function, his actual rel...
For a long investment period investment consultants usually recommend a larger proportion of risky a...
To investigate the effect of time horizon on investment behavior, this paper reports the results of ...
We consider decision-makers facing a risky wealth prospect. The probability distribution depends on ...
Improvement in Economic Position through Risk-Taking: An Attempt to Map Intertemporal Risk-Consumpti...
We study the risk index of an additive gamble proposed in Aumann and Serrano (2008).We establish a g...
We derive a closed-form expression capturing the degree of Relative Risk Aversion (RRA) of investors...
Introductory investments courses revolve around Harry Markowitz’s modern portfolio theory and Willia...
Thesis (Ph.D.)--University of Washington, 2014Essays on Risk and Uncertainty: Insights from Behavior...
This paper studies the long-term asset allocation problem of an investor with different risk aversio...
This paper studies the impact of loss aversion on decisions regarding the allocation of wealth betwe...
Define the riskiness of a gamble as the reciprocal of the absolute risk aversion (ARA) of an individ...