Bid and Ask Prices Tailored to Traders’ Risk-Aversion and Gain-Propension

Bid and ask prices tailored to the traders' risk-aversion and gain-propension are defined. Risk and gain premia are given by the Extended Gini indices, where the characteristic parameter captures the traders' perception of the under-performance and over-performance of the asset. Sufficient and necessary conditions for successful trading are set out. The bid-ask price spread and the so-called probability of trading are used to measure the chances of trading. Numerical tables for these measures are given for the most common distributions and different levels of buyer's risk-aversion and seller's gain-propension

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Year of publication:	2012
Authors:	Cardin, Marta
Other Persons:	Eisenberg, Bennet (contributor) ; Tibiletti, Luisa (contributor)
Publisher:	[2012]: [S.l.] : SSRN
Subject:	Risikoaversion \| Risk aversion \| Auktionstheorie \| Auction theory \| Geld-Brief-Spanne \| Bid-ask spread \| Börsenkurs \| Share price \| Anlageverhalten \| Behavioural finance \| Preistheorie \| Price theory \| Preismanagement \| Pricing strategy

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