Details
| Original language | English |
|---|---|
| Pages (from-to) | 1142-1154 |
| Number of pages | 13 |
| Journal | Operations research |
| Volume | 57 |
| Issue number | 5 |
| Early online date | 12 Aug 2009 |
| Publication status | Published - Sept 2009 |
Abstract
We analyze comparative static effects under uncertainty when a decision maker has mean-variance preferences and faces a generic, quasi-linear decision problem with both an endogenous risk and a background risk. In terms of mean-variance preferences, we fully characterize the effects of changes in the location, scale, and concordance parameters of the stochastic environment on optimal risk taking. Presupposing compatibility between the mean-variance and the expected-utility approach, we then translate these mean-variance properties into their analogues for von Neumann-Morgenstern utility functions.
Keywords
- Decision analysis: risk
ASJC Scopus subject areas
- Computer Science(all)
- Computer Science Applications
- Decision Sciences(all)
- Management Science and Operations Research
Cite this
- Standard
- Harvard
- Apa
- Vancouver
- BibTeX
- RIS
In: Operations research, Vol. 57, No. 5, 09.2009, p. 1142-1154.
Research output: Contribution to journal › Article › Research › peer review
}
TY - JOUR
T1 - Multiple risks and mean-variance preferences
AU - Eichner, Thomas
AU - Wagener, Andreas
PY - 2009/9
Y1 - 2009/9
N2 - We analyze comparative static effects under uncertainty when a decision maker has mean-variance preferences and faces a generic, quasi-linear decision problem with both an endogenous risk and a background risk. In terms of mean-variance preferences, we fully characterize the effects of changes in the location, scale, and concordance parameters of the stochastic environment on optimal risk taking. Presupposing compatibility between the mean-variance and the expected-utility approach, we then translate these mean-variance properties into their analogues for von Neumann-Morgenstern utility functions.
AB - We analyze comparative static effects under uncertainty when a decision maker has mean-variance preferences and faces a generic, quasi-linear decision problem with both an endogenous risk and a background risk. In terms of mean-variance preferences, we fully characterize the effects of changes in the location, scale, and concordance parameters of the stochastic environment on optimal risk taking. Presupposing compatibility between the mean-variance and the expected-utility approach, we then translate these mean-variance properties into their analogues for von Neumann-Morgenstern utility functions.
KW - Decision analysis: risk
UR - http://www.scopus.com/inward/record.url?scp=70350236890&partnerID=8YFLogxK
U2 - 10.1287/opre.1090.0692
DO - 10.1287/opre.1090.0692
M3 - Article
AN - SCOPUS:70350236890
VL - 57
SP - 1142
EP - 1154
JO - Operations research
JF - Operations research
SN - 0030-364X
IS - 5
ER -