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Problem of multicurrency deposit diversification : three possible approaches to risk accounting

Zhukovskiy, Vladislav I.; Molostvov, Vitaly S.; … - In: International journal of operations and quantitative … 20 (2014) 1, pp. 1-14

Persistent link: https://www.econbiz.de/10010467909

Real time investments with adequate portfolio theory

Kvietkauskieṅe, Alina - In: Entrepreneurial business and economics review : EBER 2 (2014) 4, pp. 85-100

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On risk aversion with many commodities and non-linear budget constraints

Chau, Nancy H. - In: The Canadian journal of economics 31 (1998) 5, pp. 1076-1100

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No good deals - no bad models

Boyarchenko, Nina; Cerrato, Mario; Crosby, John; … - 2012

some numerical examples. -- asset pricing theory ; good-deal bounds ; Knightian uncertainty ; model uncertainty …

Persistent link: https://www.econbiz.de/10009679505

Risk aversion under preference uncertainty

Kräussl, Roman; Lucas, André; Siegmann, Adriaan Hendrik - 2010

We show that if an agent is uncertain about the precise form of his utility function, his actual relative risk aversion may depend on wealth even if he knows his utility function lies in the class of constant relative risk aversion (CRRA) utility functions. We illustrate the consequences of this...

Persistent link: https://www.econbiz.de/10011382430