Linear tests for decreasing absolute risk aversion stochastic dominance
Thierry Post; Yi Fang; Miloš Kopa
| Year of publication: |
2015
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|---|---|
| Authors: | Post, Thierry ; Fang, Yi ; Kopa, Miloš |
| Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Catonsville, MD : INFORMS, ISSN 0025-1909, ZDB-ID 206345-1. - Vol. 61.2015, 7, p. 1615-1629
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| Subject: | stochastic dominance | utility theory | decreasing absolute risk aversion | linear programming | bootstrapping | market portfolio efficiency | pricing kernel | skewness | Theorie | Theory | Risikoaversion | Risk aversion | Bootstrap-Verfahren | Bootstrap approach | Nutzenfunktion | Utility function | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Erwartungsnutzen | Expected utility |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011304114