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Persistent link: https://www.econbiz.de/10010626354
This article identifies the level of the expected utility (EU) risk aversion and Value-at-Risk (VaR) confidence level that yield the same choice from a given distribution of outcomes, and thus allow for consistent application of the two criteria. The result for a given distribution is an...
Persistent link: https://www.econbiz.de/10008469213
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