Risk-adjusted martingales and the design of ``indifference gambles

DOI10.1007/S11238-010-9213-8zbMath1274.91185OpenAlexW1967111387MaRDI QIDQ763347

Ali E. Abbas

Publication date: 9 March 2012

Published in: Theory and Decision (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11238-010-9213-8

zbMATH Keywords

invariancemartingalesexpected utilityrisk aversion

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Decision theory (91B06) Utility theory (91B16)

Cites Work

• Unnamed Item
• Risk Aversion in the Small and in the Large
• Option pricing: A simplified approach
• A general theory of measurement applications to utility

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