Showing 1 - 2 of 2
-varying whereas the correlation remain constant over time. Under the parameterized alternative hypothesis the variance may change …
Persistent link: https://www.econbiz.de/10001924637
We introduce a closed form behavioural stochastic Arrow-Pratt risk process, decomposed into discrete asymmetric risk seeking and risk averse components that run on different local times in ϵ-disks centered at risk free states. Additionally, we embed Arrow-Pratt (“AP”) risk measure in a...
Persistent link: https://www.econbiz.de/10008545956