Expectation dependence of random variables, with an application in portfolio theory

关键词:

摘要: On introduit deux nouveaux concepts de dependance stochastique et on etudie leurs proprietes

参考文章(23)

Leigh Tesfatsion, Clifford Hildreth, A Model of Choice with Uncertain Initial Prospect Center for Economic Research, Department of Economics, University of Minnesota. ,(1974)

Paul R. Milgrom, Good News and Bad News: Representation Theorems and Applications The Bell Journal of Economics. ,vol. 12, pp. 380- 391 ,(1981) , 10.2307/3003562

William R Russell, Josef Hadar, Rules for Ordering Uncertain Prospects The American Economic Review. ,vol. 59, pp. 25- 34 ,(1969)

Eugene F Fama, Multiperiod Consumption-Investment Decisions The American Economic Review. ,vol. 60, pp. 163- 174 ,(1970)

William T Ziemba, Raymond G Vickson, Stochastic optimization models in finance Journal of the American Statistical Association. ,vol. 71, pp. 252- ,(2006) , 10.1142/6101

Josef Hadar, William R Russell, Stochastic dominance and diversification Journal of Economic Theory. ,vol. 3, pp. 288- 305 ,(1971) , 10.1016/0022-0531(71)90024-X

Clifford Hildreth, Leigh Tesfatsion, A Note on Dependence Between a Venture and a Current Prospect Journal of Economic Theory. ,vol. 15, pp. 381- 391 ,(1977) , 10.1016/0022-0531(77)90113-2

Michael Rothschild, Joseph E Stiglitz, Increasing risk: I. A definition Journal of Economic Theory. ,vol. 2, pp. 99- 117 ,(1970) , 10.1016/0022-0531(70)90038-4

Josef Hadar, William R Russell, Diversification of interdependent prospects Journal of Economic Theory. ,vol. 7, pp. 231- 240 ,(1974) , 10.1016/0022-0531(74)90094-5

D. P. Bertsekas, Chelsea C. White, Dynamic Programming and Stochastic Control IEEE Transactions on Systems, Man, and Cybernetics. ,vol. 7, pp. 758- 759 ,(1977) , 10.1109/TSMC.1977.4309612