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Rules for Ordering Uncertain Prospects
Josef Hadar,William R Russell +1 more
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This article is published in The American Economic Review.The article was published on 1969-01-01 and is currently open access. It has received 1748 citations till now.read more
Citations
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Location of an agribusiness enterprise with respect to economic viability: a risk analysis
TL;DR: Lau et al. as mentioned in this paper analyzed the economic and geographic effects of alternative locations on risky investment decisions in a probabilistic framework and used stochastic simulation to estimate the probability distribution for select key output variables, including net present value (NPV), of a proposed biomass to ethanol production facility in three alternative regions in Texas.
Book ChapterDOI
Chapter 10 Arbitrage, state prices and portfolio theory
Philip H. Dybvig,Stephen A. Ross +1 more
TL;DR: In this paper, the authors introduce the main ideas of neoclassical finance in a single-period context that avoids the technical difficulties of continuous-time models, but preserves the principal intuitions of the subject.
Posted Content
Production risk in multi-output industries: estimates from Norwegian dairy farms
TL;DR: In this paper, the authors estimate the structure of the stochastic multi-output production technology in Norwegian dairy farming and find that an increase in input levels leads primarily to higher output variability, and that inputs also influence the covariance of shocks between outputs.
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Portfolio Selection and Investors' Utility: a Graphical Analysis
Haim Levy,Marshall Sarnat +1 more
TL;DR: In this paper, a graphical analysis of portfolio selection and investors' utility is presented, showing that the utility of a portfolio is proportional to the number of stocks in the portfolio.
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A Comparative Study of Gini's Mean Difference and Mean Variance in Portfolio Analysis
TL;DR: The mean Gini model is similar in nature to the mean variance model in that it uses a two-parameter statistic to describe the probability distribution of risky returns as mentioned in this paper, which is consistent with the behaviour of investors under conditions of uncertainty for a wider class of probability distributions.
References
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Book
Theory of Games and Economic Behavior
TL;DR: Theory of games and economic behavior as mentioned in this paper is the classic work upon which modern-day game theory is based, and it has been widely used to analyze a host of real-world phenomena from arms races to optimal policy choices of presidential candidates, from vaccination policy to major league baseball salary negotiations.
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Admissibility and Measurable Utility Functions
James P. Quirk,Rubin Saposnik +1 more
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Ordered Families of Distributions
TL;DR: In this article, a comparison is made of several definitions of ordered sets of distributions, some of which were introduced earlier by the author [7], [8] and by Rubin [10], and the results are applied to obtaining tests that give a certain guaranteed power with a minimum number of observations.
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Dynamic Inventory Policy with Varying Stochastic Demands
TL;DR: In this article, a dynamic inventory model is formulated in which the demand distributions may change from period to period, and the optimal policy at each stage is characterized by a single critical number which also could vary in successive periods.