The Myopic Property in Decision Models

References

• Aczél J (1966) Lectures on Functional Equations and their Applications (Academic Press, New York).Google Scholar
• Arrow KJ (1964) Optimal capital policy, the cost of capital, and myopic decision rules. Ann. Inst. Statist. Math. 16(1):21–30.Crossref, Google Scholar
• Bernoulli D (1954) Exposition of a new theory on the measurement of risk. Econometrica 22(1):23–36.Crossref, Google Scholar
• Browne S, Whitt W (1996) Portfolio choice and the Bayesian Kelly criterion. Adv. Appl. Probab. 28(4):1145–1176.Crossref, Google Scholar
• Cherbonnier F, Gollier C (2015) Decreasing aversion under ambiguity. J. Econom. Theory 157(May):606–623.Crossref, Google Scholar
• Collard F, Mukerji S, Sheppard K, Tallon JM (2018) Ambiguity and the historical equity premium. Quant. Econom. 9(2):945–993.Crossref, Google Scholar
• Delquié P (2008) Interpretation of the risk tolerance coefficient in terms of maximum acceptable loss. Decision Anal. 5(1):5–9.Link, Google Scholar
• Ellsberg D (1961) Risk, ambiguity, and the savage axioms. Quart. J. Econom. 75(4):643–669.Crossref, Google Scholar
• Foster DP, Hart S (2009) An operational measure of riskiness. J. Political Econom. 117(5):785–814.Crossref, Google Scholar
• Gilboa I, Marinacci M (2016) Ambiguity and the Bayesian paradigm. Arló-Costa H, Hendricks VF, van Benthem J, eds. Readings in Formal Epistemology (Springer, Cham, Switzerland), 385–439.Crossref, Google Scholar
• Gollier C (2011) Portfolio choices and asset prices: The comparative statics of ambiguity aversion. Rev. Econom. Stud. 78(4):1329–1344.Crossref, Google Scholar
• Grossman SJ, Vila JL (1992) Optimal dynamic trading with leverage constraints. J. Financial Quant. Anal. 27(02):151–168.Crossref, Google Scholar
• Hakansson NH (1971) On optimal myopic portfolio policies, with and without serial correlation of yields. J. Bus. 44(3):324–334.Crossref, Google Scholar
• Hansen LP, Sargent TJ (2011) Robustness and ambiguity in continuous time. J. Econom. Theory 146(3):1195–1223.Crossref, Google Scholar
• Howard RA (1988) Decision analysis: Practice and promise. Management Sci. 34(6):679–695.Link, Google Scholar
• Ju N, Miao J (2012) Ambiguity, learning, and asset returns. Econometrica 80(2):559–591.Crossref, Google Scholar
• Kahneman D, Tversky A (1979) Prospect theory: An analysis of decision under risk. Econometrica 47(2):263–292.Crossref, Google Scholar
• Kelly J Jr (1956) A new interpretation of information rate. IRE Trans. Inform. Theory 2(3):185–189.Crossref, Google Scholar
• Kim TS, Omberg E (1996) Dynamic nonmyopic portfolio behavior. Rev. Financial Stud. 9(1):141–161.Crossref, Google Scholar
• Klibanoff P, Marinacci M, Mukerji S (2009) Recursive smooth ambiguity preferences. J. Econom. Theory 144(3):930–976.Crossref, Google Scholar
• MacLean LC, Thorp EO, Ziemba WT (2011) The Kelly Capital Growth Investment Criterion (Cambridge University Press, Singapore).Crossref, Google Scholar
• McCardle KF, Winkler RL (1989) All roads lead to risk preference: A turnpike theorem for conditionally independent returns. J. Financial Quant. Anal. 24(1):13–28.Crossref, Google Scholar
• McCardle KF, Winkler RL (1992) Repeated gambles, learning, and risk aversion. Management Sci. 38(6):807–818.Link, Google Scholar
• Merton RC (1969) Lifetime portfolio selection under uncertainty: The continuous-time case. Rev. Econom. Statist. 51(3):247–257.Crossref, Google Scholar
• Mossin J (1968) Optimal multiperiod portfolio policies. J. Bus. 41(2):215–229.Crossref, Google Scholar
• Rabin M, Weizsacker G (2009) Narrow bracketing and dominated choices. Amer. Econom. Rev. 99(4):1508–1543.Crossref, Google Scholar
• Raiffa H (1968) Decision Analysis: Introductory Lectures on Choices Under Uncertainty (Addison-Wesley, Boston).Google Scholar
• Rubinstein M (1976) The strong case for the generalized logarithmic utility model as the premier model of financial markets. J. Finance 31(2):551–571.Crossref, Google Scholar
• Samuelson PA (1971) The “fallacy” of maximizing the geometric mean in long sequences of investing or gambling. Proc. Natl. Acad. Sci. USA 68(10):2493–2496Crossref, Google Scholar
• Savage LJ (1954) The Foundations of Statistics (John Wiley & Sons, Hoboken, NJ).Google Scholar
• Schlesinger H, Osaki Y (2013) Precautionary saving and ambiguity. Working paper, University of Alabama, Tuscaloosa.Google Scholar
• Sharpe WF (1964) Capital asset prices: A theory of market equilibrium under conditions of risk. J. Finance 19(3):425–442.Google Scholar
• Taboga M (2005) Portfolio selection with two-stage preferences. Finance Res. Lett. 2(3):152–164.Crossref, Google Scholar
• Trautmann ST, Zeckhauser RJ (2013) Shunning uncertainty: The neglect of learning opportunities. Games Econom. Behav. 79(May):44–55.Crossref, Google Scholar
• Treich N (2010) The value of a statistical life under ambiguity aversion. J. Environ. Econom. Management 59(1):15–26.Crossref, Google Scholar
• Veinott AF Jr (1965) Optimal policy for a multi-product, dynamic, nonstationary inventory problem. Management Sci. 12(3):206–222.Link, Google Scholar
• Von Neumann J, Morgenstern O (1944) Theory of Games and Economic Behavior (Princeton University Press, Princeton, NJ).Google Scholar