COMPARING LOCAL RISKS BY ACCEPTANCE AND REJECTION

DOI10.1111/MAFI.12054zbMath1348.91260OpenAlexW2321660439MaRDI QIDQ2800001

Amnon Schreiber

Publication date: 14 April 2016

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/mafi.12054

zbMATH Keywords

riskrisk aversionstochastic dominanceacceptance dominanceriskinesslocal risk

Mathematics Subject Classification ID

Decision theory (91B06) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (3)

A note on Aumann and Serrano's index of riskiness ⋮ Indexing gamble desirability by extending proportional stochastic dominance ⋮ Economic indices of absolute and relative riskiness

Cites Work

• Existence and computation of the Aumann-Serrano index of riskiness and its extension
• An Economic Index of Riskiness
• Risk Aversion in the Small and in the Large
• The Efficiency Analysis of Choices Involving Risk
• The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments

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