Variance stochastic orders

DOI10.1016/j.jmateco.2018.10.003zbMath1419.91366OpenAlexW2746906187WikidataQ128940844 ScholiaQ128940844MaRDI QIDQ1736951

Christian Gollier

Publication date: 26 March 2019

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL: http://publications.ut-capitole.fr/24198/1/wp_tse_828.pdf

zbMATH Keywords

stochastic volatilityprudencestochastic dominancerisk apportionmenttemperancelong-run risk

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15)

Related Items (2)

New results for additive and multiplicative risk apportionment ⋮ A general theory of risk apportionment

Cites Work

• Risk-aversion, prudence and temperance
• Apportioning of risks via stochastic dominance
• Inequalities for distributions with given marginals
• Stochastic volatility implies fourth-degree risk dominance: applications to asset pricing
• Consistency of Higher Order Risk Preferences
• Risk Vulnerability and the Tempering Effect of Background Risk
• Standard Risk Aversion
• The Efficiency Analysis of Choices Involving Risk

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