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An analytical approach for behavioral portfolio model with time discounting preference

Yang, Guang; Liu, Xinwang; Qin, Jindong; Khan, Ahmed - In: RAIRO / Operations research 52 (2018) 3, pp. 691-712

Persistent link: https://www.econbiz.de/10011987156

Existence and computation of the Aumann–Serrano index of riskiness and its extension

Schulze, Klaas - In: Journal of mathematical economics 50 (2014), pp. 219-224

Persistent link: https://www.econbiz.de/10010478645

The dependence of the incremental risk rate of interest on absolute risk aversion : applying the Laplace transform to risk preference evaluation

Grubbström, Robert W. - In: International journal of production economics 212 (2019), pp. 51-59

Persistent link: https://www.econbiz.de/10012036185

Risk preference evaluation : a fourth dimension of the application of the Laplace transform

Grubbström, Robert W. - In: International journal of production research 56 (2018) 1/2, pp. 344-373

Persistent link: https://www.econbiz.de/10011876450

Existence and computation of the Aumann–Serrano index of riskiness and its extension

Schulze, Klaas - In: Journal of Mathematical Economics 50 (2014) C, pp. 219-224

Aumann and Serrano (2008) introduce the index of riskiness to quantify the risk of a gamble. We discuss for which gambles this index of riskiness exists by considering the acceptance behavior of CARA-agents. Since for several relevant distributions riskiness is not defined, we suggest an...

Persistent link: https://www.econbiz.de/10010875268