Positivity of bid-ask spreads and symmetrical monotone risk aversion (Q1863925)
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scientific article; zbMATH DE number 1880537
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Positivity of bid-ask spreads and symmetrical monotone risk aversion |
scientific article; zbMATH DE number 1880537 |
Statements
Positivity of bid-ask spreads and symmetrical monotone risk aversion (English)
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12 March 2003
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It is analyzed the positivity of the bid-ask spreads in terms of the market-maker attitudes toward risk successively in the expected utility and the rank-dependence expected utility framework.
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bid-ask spread
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hedging
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risk aversion
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SMRA
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