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Rationalization of Investment Preference Criteria
Pézier, Jacques - Henley Business School, University of Reading - 2011
The majority of risk adjusted performance measures (RAPM) currently in use – e.g., Treynor ratio, (?/?)) ratio, Omega index, RoVaR, ‘coherent’ preference criteria, etc. – are incompat- ible with any sensible utility function and would be best avoided. We argue instead for the assessment...
Persistent link: https://www.econbiz.de/10010938095
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Maximum Certain Equivalent Excess Returns and Equivalent Preference Criteria Part I - Theory
Pézier, Jacques - Henley Business School, University of Reading - 2007
Generalizations of traditional preference criteria such as the Sharpe ratio, the information ratio and the Jensen alpha are obtained by maximizing a certain equivalent excess return (CER) under relevant investment conditions. They are increasing functions of CERs and therefore equivalent...
Persistent link: https://www.econbiz.de/10008542356
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Optimization of Risk Exposure
Gretchikha, Alexei - EconWPA - 2002
Risk exposure can be efficiently optimized in practical situations, using a new apporach to identification of investor's risk aversion.
Persistent link: https://www.econbiz.de/10005134885
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Application of Stochastic Optimal Control to Financial Market Debt Crises
Stein, Jerome L. - CESifo - 2009
This interdisciplinary paper explains how mathematical techniques of stochastic optimal control can be applied to the recent subprime mortgage crisis. Why did the financial markets fail to anticipate the recent debt crisis, despite the large literature in mathematical finance concerning optimal...
Persistent link: https://www.econbiz.de/10005094473
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Higher-order risk preferences in social settings : an experimental analysis
Heinrich, Timo; Mayrhofer, Thomas - 2014
We study higher-order risk preferences, i.e. prudence and temperance, next to risk aversion in social settings … decision maker. However, we do not observe an influence of social settings on prudence and temperance. Our results reveal that …Wir untersuchen neben Risikoaversion auch Risikopräferenzen höherer Ordnung, d.h. "Prudence" und "Temperance" in …
Persistent link: https://www.econbiz.de/10010417190
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Higher order risk preferences: new experimental measures, determinants and field behavior
Schneider, Sebastian O.; Sutter, Matthias - 2020
We use a novel method to elicit and measure higher order risk preferences (prudence and temperance) in an experiment … prudence - are strongly related to adolescents' field behavior, including their financial decision making, eco …-friendly behavior, and health status, including addictive behavior. Most importantly, we show that dropping prudence and temperance from …
Persistent link: https://www.econbiz.de/10012285580
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Higher order risk preferences : new experimental measures, determinants and field behavior
Schneider, Sebastian O.; Sutter, Matthias - 2020 - Version of August, 2020
We use a novel method to elicit and measure higher order risk preferences (prudence and temperance) in an experiment … prudence are strongly related to adolescents' field behavior, including their financial decision making, eco-friendly behavior …, and health status, including addictive behavior. Most importantly, we show that dropping prudence and temperance from the …
Persistent link: https://www.econbiz.de/10012270596
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Higher order risk preferences: new experimental measures, determinants and field behavior
Schneider, Sebastian O.; Sutter, Matthias - 2020
We use a novel method to elicit and measure higher order risk preferences (prudence and temperance) in an experiment … prudence - are strongly related to adolescents' field behavior, including their financial decision making, eco …-friendly behavior, and health status, including addictive behavior. Most importantly, we show that dropping prudence and temperance from …
Persistent link: https://www.econbiz.de/10012270691
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Higher order risk preferences : new experimental measures, determinants and field behavior
Schneider, Sebastian O.; Sutter, Matthias - 2020
We use a novel method to elicit and measure higher order risk preferences (prudence and temperance) in an experiment … prudence - are strongly related to adolescents' field behavior, including their financial decision making, eco …-friendly behavior, and health status, including addictive behavior. Most importantly, we show that dropping prudence and temperance from …
Persistent link: https://www.econbiz.de/10012271496
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Joint measurement of risk aversion, prudence and temperance
Ebert, Sebastian; Wiesen, Daniel - 2010
We propose a method to measure the intensity of risk aversion, prudence (downside risk aversion) and temperance (outer … approach is not based on expected utility theory. In our experiment we find evidence for risk aversion, prudence and temperance … for being (second order) risk-loving. This highlights the importance of prudence when considering economic decisions under …
Persistent link: https://www.econbiz.de/10010293367