Guo, Xu and Wagener, Andreas and Wong, WingKeung and Zhu, Lixing (2017): The TwoMoment Decision Model with Additive Risks.

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Abstract
With multiple additive risks, the meanvariance approach and the expectedutility approach of risk preferences are compatible if all attainable distributions belong to the same locationscale family. Under this proviso, we survey existing results on the parallels of the two approaches with respect to risk attitudes, the changes thereof, and the comparative statics for simple, linear choice problems under risks. In meanvariance approach all effects can be couched in terms of the marginal rate of substitution between mean and variance. We provide some simple proofs of some previous results. We apply the theory we stated or developed in our paper to study the behavior of banking firm and study risk taking behavior with background risk in the meanvariance model.
Item Type:  MPRA Paper 

Original Title:  The TwoMoment Decision Model with Additive Risks 
English Title:  The TwoMoment Decision Model with Additive Risks 
Language:  English 
Keywords:  Meanvariance model; locationscale family; background risk; multiple additive risks; expectedutility approach 
Subjects:  C  Mathematical and Quantitative Methods > C0  General D  Microeconomics > D8  Information, Knowledge, and Uncertainty > D81  Criteria for DecisionMaking under Risk and Uncertainty G  Financial Economics > G1  General Financial Markets > G11  Portfolio Choice ; Investment Decisions 
Item ID:  77625 
Depositing User:  WingKeung Wong 
Date Deposited:  17 Mar 2017 14:17 
Last Modified:  30 Sep 2019 03:53 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/77625 