Mean-variance versus utility maximization revisited: The case of constant relative risk aversion-Reference-Cited by-同舟云学术

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Mean-variance versus utility maximization revisited: The case of constant relative risk aversion

Published:2021-11 Issue: Volume:78 Page:101932
ISSN:1057-5219
Container-title:International Review of Financial Analysis
language:en
Short-container-title:International Review of Financial Analysis

Author:

Kassimatis Konstantinos

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference45 articles.

1. Why stocks may disappoint;Ang;Journal of Financial Economics,2005

2. Downside risk;Ang;The Review of Financial Studies,2006

3. Marginal value and intrinsic risk aversion;Bell,1988

4. Option-implied risk aversion estimates;Bliss;Journal of Finance,2004

5. Portfolio selection in stochastic markets with HARA utility functions;Canakoglu;European Journal of Operational Research,2010

Cited by 3 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Testing out-of-sample portfolio performance using second-order stochastic dominance constrained optimization approach;International Review of Financial Analysis;2024-10

2. Utility basis of consumption and investment decisions in a risk environment;Acta Mathematica Scientia;2022-10-10

3. Modified variance incorporating high-order moments in risk measure with Gram-Charlier returns;The Engineering Economist;2022-05-24

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