This Article Full Text (PDF) References Alert me when this article is cited Alert me if a correction is posted Services Email this article to a friend Similar articles in this journal Alert me to new issues of the journal Download to citation manager Citing Articles Citing Articles via HighWire Citing Articles via Google Scholar Google Scholar Articles by Eichner, T. Search for Related Content

Mean Variance Vulnerability

Department of Economics, University of Bielefeld, D-33615 Bielefeld, Germany
teichner{at}wiwi.uni-bielefeld.de

This paper transfers the concept of Gollier and Pratt's (Gollier, C., J. W. Pratt. 1996. Risk vulnerability and the tempering effect of background risk. Econometrica 64 1109–1123) risk vulnerability into mean variance preferences. Risk vulnerability is shown to be equivalent to the slope of the mean variance indifference curve being decreasing in mean and increasing in variance. Next, we introduce the notion of mean variance vulnerability to link the concepts of decreasing absolute risk aversion, risk vulnerability, properness, and standardness. All of the abovementioned concepts are characterized in terms of mean variance indifference curve properties and in terms of absolute risk measures.

Key Words: mean; variance; vulnerability; properness; standardness
History: Received: January 24, 2007;

This article has been cited by other articles:

				T. Eichner and A. Wagener Multiple Risks and Mean-Variance Preferences Operations Research, September 1, 2009; 57(5): 1142 - 1154. [Abstract] [PDF]