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Mean variance preferences, expectations formation, and the dynamics of random asset prices

Böhm, Volker; Chiarella, Carl - In: Mathematical finance : an international journal of … 15 (2005) 1, pp. 61-97

Persistent link: https://www.econbiz.de/10002582956

Mean variance preferences, expectations formation, and the dynamics of random asset prices

Böhm, Volker; Chiarella, Carl - 2000

Persistent link: https://www.econbiz.de/10013385379

Ambiguity and asset pricing : an empirical investigation for an emerging market

Sahin, Baki Cem; Danışoğlu, Seza - In: International review of financial analysis 84 (2022), pp. 1-14

Persistent link: https://www.econbiz.de/10013472710

Statistics of risk aversion

Giacomini, Enzo (contributor); Härdle, Wolfgang (contributor) - 2007

Persistent link: https://www.econbiz.de/10003633711

Testing monotonicity of pricing Kernels

Golubev, Yuri (contributor); Härdle, Wolfgang (contributor) - 2008

The behaviour of market agents has always been extensively covered in the literature. Risk averse behaviour, described by von Neumann and Morgenstern (1944) via a concave utility function, is considered to be a cornerstone of classical economics. Agents prefer a fixed profit over uncertain...