Multivariate risk premiums

DOI10.1007/BF00125658zbMath0603.90004MaRDI QIDQ1082999

R. Ambarish, J. G. Kallberg

Publication date: 1987

Published in: Theory and Decision (Search for Journal in Brave)

zbMATH Keywords

characterizations of a risk premiumlocal ordering of the risk aversion

Mathematics Subject Classification ID

Decision theory (91B06) Individual preferences (91B08)

Related Items (4)

Multivariate risk premiums ⋮ A strong (Ross) characterization of multivariate risk aversion ⋮ Many good risks: An interpretation of multivariate risk and risk aversion without the independence axiom ⋮ Univariate and multivariate measures of risk aversion and risk premiums

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Multivariate risk premiums
• Risk aversion, impatience, and optimal timing decisions
• Comparison of Alternative Utility Functions in Portfolio Selection Problems
• On the application of dynamic programming to a class of implicit variational problems
• On Multivariate Risk Aversion
• Risk Aversion with Random Initial Wealth
• Some Stronger Measures of Risk Aversion in the Small and the Large with Applications
• Constant, Increasing and Decreasing Risk Aversion with Many Commodities
• A Matrix Measure of Multivariate Local Risk Aversion
• Temporal Resolution of Uncertainty and Dynamic Choice Theory
• Risk Aversion in the Small and in the Large

This page was built for publication: Multivariate risk premiums