Some consequences of correlation aversion in decision science

@article{Denuit2010SomeCO,
  title={Some consequences of correlation aversion in decision science},
  author={Michel Denuit and Louis Eeckhoudt and B{\'e}atrice Rey},
  journal={Annals OR},
  year={2010},
  volume={176},
  pages={259-269}
}
Very often in decision problems with unior multivariate objective, many results depend upon the signs of successive direct or cross derivatives of the utility function at least up to the 4th order. The purpose of the present paper is to provide a new and unified interpretation of these signs. It is based on the observation that decision-makers like to combine assets the return of which are negatively correlated (i.e., they have a preference for hedging). More specifically, this attitude is… CONTINUE READING

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