From sure to strong diversification

Chateauneuf, Alain; Lakhnati, Ghizlane

doi:10.1007/s00199-006-0126-2

Cited by 21 publications

(14 citation statements)

References 18 publications

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“…Proposition 14 (Chateauneuf and Lakhnati (2007)). A RDEU decision maker exhibits preference for sure diversification if and only if he is weakly risk averse.…”

Section: Diversification Preferences In Rdeumentioning

confidence: 95%

“…Theorem 2 (Chateauneuf and Lakhnati (2007)). A monotonic and compact continuous preference relation exhibits preference for strong diversification if and only if it respects second-order stochastic dominance.…”

Section: Strong Risk Aversion and Diversificationmentioning

confidence: 96%

“…One can also show that preferences for strong diversification are equivalent to requiring that preferences respect second-order stochastic dominance (see Chateauneuf and Lakhnati (2007) for an outline of the proof). Moreover, Chateauneuf and Lakhnati (2007) also provide a counterexample showing that preferences for strong diversification do not imply convex preferences.…”

Section: Diversification Preferencesmentioning

confidence: 99%

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Diversification preferences in the theory of choice

Giorgi

Mahmoud

2016

Decisions Econ Finan

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Diversification represents the idea of choosing variety over uniformity. Within the theory of choice, desirability of diversification is axiomatized as preference for a convex combination of choices that are equivalently ranked. This corresponds to the notion of risk aversion when one assumes the von-Neumann-Morgenstern expected utility model, but the equivalence fails to hold in other models. This paper analyzes axiomatizations of the concept of diversification and their relationship to the related notions of risk aversion and convex preferences within different choice theoretic models. Implications of these notions on portfolio choice are discussed. We cover model-independent diversification preferences, preferences within models of choice under risk, including expected utility theory and the more general rank-dependent expected utility theory, as well as models of choice under uncertainty axiomatized via Choquet expected utility theory. Remarks on interpretations of diversification preferences within models of behavioral choice are given in the conclusion.

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“…Proposition 14 (Chateauneuf and Lakhnati (2007)). A RDEU decision maker exhibits preference for sure diversification if and only if he is weakly risk averse.…”

Section: Diversification Preferences In Rdeumentioning

confidence: 95%

Section: Strong Risk Aversion and Diversificationmentioning

confidence: 96%

Section: Diversification Preferencesmentioning

confidence: 99%

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Diversification preferences in the theory of choice

Giorgi

Mahmoud

2016

Decisions Econ Finan

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“…Preference for diversification implies preference for sure diversification, but the converse does not hold. One can also show that preferences for strong diversification are equivalent to requiring that preferences respect second-order stochastic dominance (see Chateauneuf and Lakhnati (2007) for an outline of the proof). Moreover, Chateauneuf and Lakhnati (2007) also provide a counterexample showing that preferences for strong diversification do not imply convex preferences.…”

Section: Diversification Preferencesmentioning

confidence: 99%

Diversification Preferences in the Theory of Choice

Giorgi

Mahmoud

2015

SSRN Journal

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“…For extensions ofDekel's (1989) approach seeChateauneuf and Lakhnati (2007) andChateauneuf and Tallon (2002). For an excellent survey on this literature see De Giorgi and Mahmoud (2016).…”

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confidence: 99%

Preferences over all random variables: Incompatibility of convexity and continuity

Assa

Zimper

2018

Journal of Mathematical Economics

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We consider preferences over all random variables on a given nonatomic probability space. We show that non-trivial and complete preferences cannot simultaneously satisfy the two fundamental principles of convexity and continuity. As an implication of this incompatibility result there cannot exist any non-trivial continuous utility representations over all random variables that are either quasi-concave or quasi-convex. This rules out risk-averse (or seeking) expected utility representations and, more generally, risk-and uncertainty-averse (or seeking) Choquet expected utility representations for this large space of random variables.

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From sure to strong diversification

Cited by 21 publications

References 18 publications

Diversification preferences in the theory of choice

Diversification preferences in the theory of choice

Diversification Preferences in the Theory of Choice

Preferences over all random variables: Incompatibility of convexity and continuity

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