Both sensitive value measure and its applications

DOI10.1007/S10690-021-09352-6zbMath1497.91345OpenAlexW3202828913MaRDI QIDQ2172557

Yoshio Miyahara

Publication date: 16 September 2022

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-021-09352-6

zbMATH Keywords

aggressiveness indexboth sensitive value measure (BSVM)inner rate of risk aversion (IRRA)risk sensitive value measure (RSVM)

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Cites Work

• Unnamed Item
• Stock performance evaluation incorporating high moments and disaster risk: evidence from Japan
• Inner rate of risk aversion (IRRA) and its applications to investment selection
• Utility indifference pricing and the Aumann-Serrano performance index
• Stock performance by utility indifference pricing and the Sharpe ratio

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