Increasing risk : dynamic mean-preserving spreads
Jean-Louis Arcand, Max-Olivier Hongler, Daniele Rinaldo
| Year of publication: |
2020
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|---|---|
| Authors: | Arcand, Jean-Louis L. ; Hongler, Max-Olivier ; Rinaldo, Daniele |
| Published in: |
Journal of mathematical economics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4068, ZDB-ID 217625-7. - Vol. 86.2020, p. 69-82
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| Subject: | Dynamic mean-preserving spreads | Increasing dynamic risk | Non-Gaussian diffusion | Stochastic differential equations | Super-diffusive noise source | Theorie | Theory | Stochastischer Prozess | Stochastic process | Risiko | Risk | Risikoprämie | Risk premium | Analysis | Mathematical analysis | Volatilität | Volatility | Zinsstruktur | Yield curve |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jmateco.2018.11.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012660651