Generalised mean-risk preferences

• 成果类型: Article
• 署名作者: Schoch, Daniel
• 署名单位: University of Nottingham Malaysia
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2016.11.004
• 发表日期: 2017
• 页码: 12-26
• 关键词: Mean-risk preferences; Deviation measures; Coherent risk measures; CAPM

摘要

We extend the classical mean-variance preference model underlying modern portfolio theory to include deviation measures (Rockafellar et al., 2006a). Deviation measures have characteristics similar to a norm, save that they are not symmetric. The significance of this study is given by the fact that the class of agents following a CAPM-like investment strategy with a certain deviation measure which is tantamount to always selecting a certain personal master portfolio can be described by having generalised mean-risk preferences with certain constraints on the utility function (Rockafellar et al., 2007). We provide two axiomatic characterisations of this class of preferences, one for the case where the deviation measure is given, and one for preferences from which a deviation measure can be extracted. (C) 2016 Elsevier Inc. All rights reserved.