Inner rate of risk aversion (IRRA) and its applications to investment selection

DOI10.1007/S10690-019-09289-XzbMath1454.91230OpenAlexW2982468323MaRDI QIDQ2216393

Yoshio Miyahara

Publication date: 15 December 2020

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

Full work available at URL: https://doi.org/10.1007/s10690-019-09289-x

zbMATH Keywords

inner rate of risk aversion (IRRA)risk sensitive value measure (RSVM)investment selectionoptimal scalerating tablescale risk boundary

Mathematics Subject Classification ID

Utility theory (91B16) Portfolio theory (91G10)

Related Items (1)

Both sensitive value measure and its applications

Cites Work

• An Economic Index of Riskiness
• Stock performance by utility indifference pricing and the Sharpe ratio

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