How does a change in downside risk affect optimal demand for a risky asset?: Comparative statics on Tail Conditional Expectation-Reference-Cited by-同舟云学术

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How does a change in downside risk affect optimal demand for a risky asset?: Comparative statics on Tail Conditional Expectation

Published:2023-12 Issue: Volume:58 Page:104668
ISSN:1544-6123
Container-title:Finance Research Letters
language:en
Short-container-title:Finance Research Letters

Author:

Nakamura Kazuki^ORCID

Publisher

Elsevier BV

Subject

Finance

Reference20 articles.

1. Downside risk;Ang;Rev. Financial Stud.,2006

2. Coherent measures of risk;Artzner;Math. Finance,1999

3. A note on asset proportions, stochastic dominance, and the 50% rule;Clark;Manage. Sci.,1999

4. Portfolio optimization with stochastic dominance constraints;Dentcheva;J. Bank. Financ.,2006

5. Risk aversion, prudence, and asset allocation: A review and some new developments;Denuit;Theory and Decision,2016

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