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Persistent link: https://www.econbiz.de/10014448116
We study conditions under which the threshold parameter in the Omega ratio represents risk aversion in the sense of monotonicity of risk premia. To this end, we derive asymptotic expansions for risk premia associated with taking a small additional risk on top of a background risk. These risk...
Persistent link: https://www.econbiz.de/10014254014