Generalised mean-risk preferences

A-Tier
Journal: Journal of Economic Theory
Year: 2017
Volume: 168
Issue: C
Pages: 12-26

Score contribution per author:

4.022 = (α=2.01 / 1 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

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.

Technical Details

RePEc Handle
repec:eee:jetheo:v:168:y:2017:i:c:p:12-26
Journal Field
Theory
Author Count
1
Added to Database
2026-01-29