Arrow-Pratt measures of risk aversion have been defined for the univariate case. For utility functions having the same ordinal preferences, the authors extend K. J. Arrow's probability premium index to the multivariate case and obtain a unique solution that can be employed to risk-aversion...

An investment experiment in which a real monetary profit or loss can occur is designed to test the capital asset pricing model (CAPM) and the generalized CAPM (segmented market model) with ex-ante parameters. Risk and return are found to be strongly associated. While in most cases the...