Univariate and multivariate measures of risk aversion and risk premiums

DOI10.1007/BF02282053zbMath0786.90005MaRDI QIDQ1313163

William T. Ziemba, Yuming Li

Publication date: 26 January 1994

Published in: Annals of Operations Research (Search for Journal in Brave)

zbMATH Keywords

expected utilitycorrelated risksportfolio theorycovariance operatorunivariate and multivariate measures of risk aversion

Mathematics Subject Classification ID

Utility theory (91B16)

Related Items (2)

Multidimensional risk aversion: the cardinal sin ⋮ Free entry under uncertainty

Cites Work

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• The Ordering of Portfolios in Terms of Mean and Variance
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• Risk Independence and Multiattributed Utility Functions

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