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Generalised mean-risk preferences

Daniel Schoch ()

Journal of Economic Theory, 2017, vol. 168, issue C, 12-26

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.

Keywords: Mean-risk preferences; Deviation measures; Coherent risk measures; CAPM (search for similar items in EconPapers)
JEL-codes: D11 D81 G11 (search for similar items in EconPapers)
Date: 2017
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