Multiple Risks and Mean-Variance Preferences
成果类型：
Article
署名作者：
Eichner, Thomas; Wagener, Andreas
署名单位：
University of Bielefeld; Leibniz University Hannover
刊物名称：
OPERATIONS RESEARCH
ISSN/ISSBN：
0030-364X
DOI：
10.1287/opre.1090.0692
发表日期：
2009
页码：
1142-1154
关键词：
摘要：
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.