Banking Firm, Risk of Investment and Derivatives

References

[1] X. Freixas and J.-C. Rochet, “Microeconomics of Banking,” 2nd Edition, MIT Press, Cambridge, 2008,

[2] J. Bessis, “Risk Management in Banking,” 3rd Edition, Wiley & Sons, Chichester, 2009.

[3] Th. C. Wilson, “Portfolio Credit Risk,” Federal Reserve Bank of New York Economic Policy Review, Vol. 4, No. 3, 1998, pp. 71-82.

[4] F. A. DeRoon, T. E. Nijman and B. J. M. Werker, “Currency Hedging for International Stock Portfolios: The Uselfulness of Mean-Variance Analysis,” Journal of Banking & Finance, Vol. 27, No. 2, 2003, pp. 327-350.
HUdoi:10.1016/S0378-4266(01)00251-5U

[5] H. Schneewei?, “Entscheidungskriterien bei Risiko,” Springer, Berlin, 1967.

[6] J. Meyer, “Second Degree Stochastic Dominance with Respect to a Function,” International Economic Review, Vol. 18, No. 2, 1977, pp. 476-487. HUdoi:10.2307/2525760U

[7] J. Meyer, “Two-Moment Decision Models and Expected Utility Maximization,” American Economic Review, Vol. 77, No. 3, 1987, pp. 421-430.

[8] A. L?ffler, “Variance Aversion Implies μ-σ2-Criterion,” Journal of Economic Theory, Vol. 69, No. 2, 1996, pp. 532-539.

[9] Z. Bar-Shira and I. Finkelshtain, “Two-Moments Decision Models and Utility-Representable Preferences,” Journal of Economic Behavior & Organization, Vol. 38, No. 2, 1999, pp. 237-244.
HUdoi:10.1016/S0167-2681(99)00008-6U

[10] W.-K. Wong and C. K. Li, “A Note on Convex Stochastic Dominance Theory,” Economics Letters, Vol. 62, No. 3, 1999, pp. 293-300. HUdoi:10.1016/S0165-1765(98)00231-6U

[11] M. Ormiston and E. Schlee, “Mean-Variance Preferences and Investor Behavior,” Economic Journal, Vol. 111, No. 474, 2001, pp. 849-861. HUdoi:10.1111/1468-0297.00662U

[12] A. Wagener, “Prudence and Risk Vulnerability in Two-Moment Decisions Models,” Economics Letters, Vol. 74, No. 2, 2002, pp. 229-235.
HUdoi:10.1016/S0165-1765(01)00541-9U

[13] U. Broll, J. E. Wahl and K.-W. Wong, “Elasticity of Risk Aversion and International Trade,” Economics Letters, Vol. 92, No. 1, 2006, pp. 126-130.
HUdoi:10.1016/j.econlet.2006.01.031U

[14] W.-K. Wong and C. H. Ma, “Preferences over Location-Scale Family,” Economic Theory, Vol. 37, No. 1, 2008, pp. 119-146. HUdoi:10.1007/s00199-007-0254-3U

[15] H. M. Markowitz, “Portfolio Selection, Cowles Foundation Monograph 16,” Wiley, New York, 1959.

[16] J. Von Neumann and O. Morgenstern, “Theory of Games and Economic Behavior,” John Wiley, New York, 1947.

[17] G. Hanoch and H. Levy, “Efficiency Analysis of Choices Involving Risk,” Review of Economic Studies, Vol. 36, No. 3, 1969, pp. 335-346. HUdoi:10.2307/2296431U

[18] D. P. Baron, “Information, Investment Behavior, and Efficient Portfolios,” Journal of Financial and Quantitative Analysis, Vol. 9, No. 4, 1974, pp. 555-566.
HUdoi:10.2307/2329760U

[19] H. Levy, “Two-Moment Decision Models and Expected Utility Maximization: Comment,” American Economic Review, Vol. 79, No. 3, 1989, pp. 597-600.

[20] H.-W. Sinn, “Expected Utility, μ-σ Preferences, and Linear Distribution Classes: A Further Result,” Journal of Risk and Uncertainty, Vol. 3, No. 3, 1990, pp. 277-281.
HUdoi:10.1007/BF00116785U

[21] A. W. Roberts and D. E. Varberg, “Convex Functions,” Academic Press, New York, 1973.

[22] G. A. Whitmore, “Third-Degree Stochastic Dominance,” American Economic Review, Vol. 60, No. 3, 1970, pp. 457-459.

[23] J. Hadarand and W. R. Russel, “Stochastic Dominance and Diversi?cation,” Journal of Economic Theory, Vol. 3, No, 3, 1971, pp. 288-305.
HUdoi:10.1016/0022-0531(71)90024-XU

[24] L. Tesfatsion, “Stochastic Dominance and Maximization of Expected Utility,” Review of Economic Studies, Vol. 43, No. 2, 1976, pp. 301-315. HUdoi:10.2307/2297326U

[25] D. Stoyan, “Comparison Methods for Queues and Other Stochastic Models,” John Wiley, New York, 1983.

[26] G. Davis, “Income and Substitution Effects for Mean-Preserving Spreads,” International Economic Review, Vol. 30, No. 1, 1989, pp. 131-136.
HUdoi:10.2307/2526553U

[27] M. S. Kimball, “Standard Risk Aversion,” Econometrica, Vol. 61, No. 3, 1993, pp. 589-611.
HUdoi:10.2307/2951719U

[28] H.-W. Sinn, “Economic Decisions under Uncertainty,” North Holland, Amsterdam, 1983.