We evaluate how departure from normality may affect the allocation of assets. A Taylor
series expansion of the expected utility allows to focus on certain moments and to compute …

In this contribution, the upper bounds for sums of dependent random variables X1+ X2+⋯+
Xn derived by using comonotonicity are sharpened for the case when there exists a random …

One of the major functions of derivative instruments is risk reduction. A long-standing
tradition in the finance literature treated the risk with a two-sided notion. Standard deviation …

This paper considers choice between individual projects and shows that when the choice
set includes arbitrary distributions, then any assumed relationship between expected utility …

In this paper, we first develop some properties to state the relationships among central
moments, stochastic dominance (SD), risk-seeking stochastic dominance (RSD), and …

We determined the scope of five decision models of choices across four environmental
niches defined by whether outcome probabilities are described (risk) or experienced by …

Our paper contributes to the literature by develo** the theory of the mean-variance (MV)
rules for investors with reverse S-shaped utility. To do so, we first introduce the definition of …

This paper first shows the sufficient relationship between the (n+ 1)(n+ 1)-order SD and the n-
order Kappa ratio. In fact, we clarify the restrictions on necessary beating of the target for the …

We investigate multiperiod portfolio selection problems in a Black and Scholes type market
where a basket of 1 riskfree and m risky securities are traded continuously. We look for the …

In most practical cases, it is impossible to find an explicit expression for the distribution
function of the present value of a sequence of cashflows that are discounted using a …