|
|
|
|
LEADER |
01000caa a22002652 4500 |
001 |
JST056293488 |
003 |
DE-627 |
005 |
20240622022150.0 |
007 |
cr uuu---uuuuu |
008 |
150324s1989 xx |||||o 00| ||eng c |
035 |
|
|
|a (DE-627)JST056293488
|
035 |
|
|
|a (JST)2631971
|
040 |
|
|
|a DE-627
|b ger
|c DE-627
|e rakwb
|
041 |
|
|
|a eng
|
100 |
1 |
|
|a Li, Yuming
|e verfasserin
|4 aut
|
245 |
1 |
0 |
|a Characterizations of Optimal Portfolios by Univariate and Multivariate Risk Aversion
|
264 |
|
1 |
|c 1989
|
336 |
|
|
|a Text
|b txt
|2 rdacontent
|
337 |
|
|
|a Computermedien
|b c
|2 rdamedia
|
338 |
|
|
|a Online-Ressource
|b cr
|2 rdacarrier
|
520 |
|
|
|a In a portfolio selection model with two risky investments having bivariate normally distributed returns, we show that Rubinstein's measures of risk aversion can yield the desirable characterizations of risk aversion and wealth effects on the optimal portfolios. These properties are analogous to those of the Arrow-Pratt measures of risk aversion in the portfolio selection model with one riskless and one risky investment. If investors' preferences are represented by multi-attributed utility functions and returns on different investments and other relevant factors have a joint normal distribution, we show that optimal portfolios can be characterized by a matrix measure of risk aversion.
|
540 |
|
|
|a Copyright 1989 The Institute of Management Sciences
|
650 |
|
4 |
|a Finance-Risk Aversion
|
650 |
|
4 |
|a Risky Investment Choice
|
650 |
|
4 |
|a Portfolio Theory
|
650 |
|
4 |
|a Economics
|x Economic disciplines
|x Financial economics
|x Finance
|x Financial analysis
|x Risk management
|x Risk aversion
|
650 |
|
4 |
|a Economics
|x Economic disciplines
|x Financial economics
|x Finance
|x Financial investments
|x Financial portfolios
|
650 |
|
4 |
|a Economics
|x Economic disciplines
|x Financial economics
|x Finance
|x Financial management
|x Financial risk
|x Investment risk
|
650 |
|
4 |
|a Economics
|x Economic disciplines
|x Financial economics
|x Finance
|x Financial investments
|x Financial portfolios
|x Investment portfolios
|
650 |
|
4 |
|a Economics
|x Economic disciplines
|x Financial economics
|x Finance
|x Financial investments
|
650 |
|
4 |
|a Economics
|x Microeconomics
|x Economic utility
|x Utility functions
|
650 |
|
4 |
|a Economics
|x Economic disciplines
|x Financial economics
|x Finance
|x Financial investments
|x Investors
|
650 |
|
4 |
|a Economics
|x Economic disciplines
|x Financial economics
|x Finance
|x Financial management
|x Portfolio management
|x Portfolio investments
|
650 |
|
4 |
|a Economics
|x Economic disciplines
|x Financial economics
|x Finance
|x Financial investments
|x Investment returns
|
650 |
|
4 |
|a Mathematics
|x Applied mathematics
|x Statistics
|x Applied statistics
|x Descriptive statistics
|x Statistical distributions
|x Distribution functions
|x Probability distributions
|x Gaussian distributions
|
655 |
|
4 |
|a research-article
|
700 |
1 |
|
|a Ziemba, William T.
|e verfasserin
|4 aut
|
773 |
0 |
8 |
|i Enthalten in
|t Management Science
|d Institute for Operations Research and the Management Sciences, 1954
|g 35(1989), 3, Seite 259-269
|w (DE-627)320623602
|w (DE-600)2023019-9
|x 15265501
|7 nnns
|
773 |
1 |
8 |
|g volume:35
|g year:1989
|g number:3
|g pages:259-269
|
856 |
4 |
0 |
|u https://www.jstor.org/stable/2631971
|3 Volltext
|
912 |
|
|
|a GBV_USEFLAG_A
|
912 |
|
|
|a SYSFLAG_A
|
912 |
|
|
|a GBV_JST
|
912 |
|
|
|a GBV_ILN_11
|
912 |
|
|
|a GBV_ILN_20
|
912 |
|
|
|a GBV_ILN_22
|
912 |
|
|
|a GBV_ILN_23
|
912 |
|
|
|a GBV_ILN_24
|
912 |
|
|
|a GBV_ILN_31
|
912 |
|
|
|a GBV_ILN_32
|
912 |
|
|
|a GBV_ILN_39
|
912 |
|
|
|a GBV_ILN_40
|
912 |
|
|
|a GBV_ILN_60
|
912 |
|
|
|a GBV_ILN_62
|
912 |
|
|
|a GBV_ILN_63
|
912 |
|
|
|a GBV_ILN_65
|
912 |
|
|
|a GBV_ILN_69
|
912 |
|
|
|a GBV_ILN_70
|
912 |
|
|
|a GBV_ILN_90
|
912 |
|
|
|a GBV_ILN_95
|
912 |
|
|
|a GBV_ILN_100
|
912 |
|
|
|a GBV_ILN_110
|
912 |
|
|
|a GBV_ILN_120
|
912 |
|
|
|a GBV_ILN_152
|
912 |
|
|
|a GBV_ILN_187
|
912 |
|
|
|a GBV_ILN_224
|
912 |
|
|
|a GBV_ILN_285
|
912 |
|
|
|a GBV_ILN_374
|
912 |
|
|
|a GBV_ILN_702
|
912 |
|
|
|a GBV_ILN_2001
|
912 |
|
|
|a GBV_ILN_2003
|
912 |
|
|
|a GBV_ILN_2005
|
912 |
|
|
|a GBV_ILN_2006
|
912 |
|
|
|a GBV_ILN_2007
|
912 |
|
|
|a GBV_ILN_2008
|
912 |
|
|
|a GBV_ILN_2009
|
912 |
|
|
|a GBV_ILN_2010
|
912 |
|
|
|a GBV_ILN_2011
|
912 |
|
|
|a GBV_ILN_2014
|
912 |
|
|
|a GBV_ILN_2015
|
912 |
|
|
|a GBV_ILN_2018
|
912 |
|
|
|a GBV_ILN_2020
|
912 |
|
|
|a GBV_ILN_2021
|
912 |
|
|
|a GBV_ILN_2026
|
912 |
|
|
|a GBV_ILN_2027
|
912 |
|
|
|a GBV_ILN_2034
|
912 |
|
|
|a GBV_ILN_2044
|
912 |
|
|
|a GBV_ILN_2048
|
912 |
|
|
|a GBV_ILN_2050
|
912 |
|
|
|a GBV_ILN_2055
|
912 |
|
|
|a GBV_ILN_2056
|
912 |
|
|
|a GBV_ILN_2057
|
912 |
|
|
|a GBV_ILN_2059
|
912 |
|
|
|a GBV_ILN_2061
|
912 |
|
|
|a GBV_ILN_2065
|
912 |
|
|
|a GBV_ILN_2068
|
912 |
|
|
|a GBV_ILN_2106
|
912 |
|
|
|a GBV_ILN_2107
|
912 |
|
|
|a GBV_ILN_2108
|
912 |
|
|
|a GBV_ILN_2111
|
912 |
|
|
|a GBV_ILN_2112
|
912 |
|
|
|a GBV_ILN_2113
|
912 |
|
|
|a GBV_ILN_2118
|
912 |
|
|
|a GBV_ILN_2122
|
912 |
|
|
|a GBV_ILN_2129
|
912 |
|
|
|a GBV_ILN_2143
|
912 |
|
|
|a GBV_ILN_2147
|
912 |
|
|
|a GBV_ILN_2148
|
912 |
|
|
|a GBV_ILN_2152
|
912 |
|
|
|a GBV_ILN_2153
|
912 |
|
|
|a GBV_ILN_2190
|
912 |
|
|
|a GBV_ILN_2232
|
912 |
|
|
|a GBV_ILN_2472
|
912 |
|
|
|a GBV_ILN_2935
|
912 |
|
|
|a GBV_ILN_2940
|
912 |
|
|
|a GBV_ILN_2949
|
912 |
|
|
|a GBV_ILN_2950
|
912 |
|
|
|a GBV_ILN_4012
|
912 |
|
|
|a GBV_ILN_4035
|
912 |
|
|
|a GBV_ILN_4037
|
912 |
|
|
|a GBV_ILN_4046
|
912 |
|
|
|a GBV_ILN_4112
|
912 |
|
|
|a GBV_ILN_4125
|
912 |
|
|
|a GBV_ILN_4126
|
912 |
|
|
|a GBV_ILN_4242
|
912 |
|
|
|a GBV_ILN_4246
|
912 |
|
|
|a GBV_ILN_4249
|
912 |
|
|
|a GBV_ILN_4251
|
912 |
|
|
|a GBV_ILN_4305
|
912 |
|
|
|a GBV_ILN_4306
|
912 |
|
|
|a GBV_ILN_4307
|
912 |
|
|
|a GBV_ILN_4313
|
912 |
|
|
|a GBV_ILN_4322
|
912 |
|
|
|a GBV_ILN_4323
|
912 |
|
|
|a GBV_ILN_4324
|
912 |
|
|
|a GBV_ILN_4325
|
912 |
|
|
|a GBV_ILN_4326
|
912 |
|
|
|a GBV_ILN_4335
|
912 |
|
|
|a GBV_ILN_4338
|
912 |
|
|
|a GBV_ILN_4346
|
912 |
|
|
|a GBV_ILN_4393
|
912 |
|
|
|a GBV_ILN_4700
|
951 |
|
|
|a AR
|
952 |
|
|
|d 35
|j 1989
|e 3
|h 259-269
|