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  • Search: subject:"Ross risk aversion"
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Year of publication
Subject
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Comparative cross Ross risk aversion 2 Decreasing cross Ross risk aversion 2 Partial risk premium 2 Arrow-Pratt-risk aversion 1 Conditional Value-at-Risk 1 Consumption-based CAPM 1 Dependent background risk 1 Equity premium puzzle 1 Expectations dependence 1 Exponential spectral risk measures 1 Measurement 1 Messung 1 Power spectral risk measures 1 Quadrant dependent background risk 1 Risiko 1 Risikoaversion 1 Risikomanagement 1 Risikomaß 1 Risk 1 Risk aversion 1 Risk management 1 Risk measure 1 Risk premium 1 Ross risk aversion 1 Ross-risk aversion 1 Spectral risk measures 1 Theorie 1 Theory 1 n-switch utility function 1 n-switch utility functions 1
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Online availability
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Free 4
Type of publication
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Book / Working Paper 4
Type of publication (narrower categories)
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Graue Literatur 1 Konferenzschrift 1 Non-commercial literature 1
Language
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English 2 Undetermined 2
Author
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Dionne, Georges 3 Li, Jingyuan 3 Brandtner, Mario 1 Kürsten, Wolfgang 1 Okou, Cedric 1
Institution
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Centre Interuniversitaire sur le Risque, les Politiques Économiques et l'Emploi (CIRPÉE) 3
Published in...
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Cahiers de recherche 3
Source
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RePEc 3 ECONIS (ZBW) 1
Showing 1 - 4 of 4
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Comparative Ross Risk Aversion in the Presence of Mean Dependent Risks
Dionne, Georges; Li, Jingyuan - Centre Interuniversitaire sur le Risque, les Politiques … - 2012
independent, and may be conditional expectation increasing or decreasing. We show that our order of cross Ross risk aversion is … equivalent to the order of partial risk premium, while our index of decreasing cross Ross risk aversion is equivalent to … independent risks. Finally, we show that decreasing cross Ross risk aversion gives rise to the utility function family belonging …
Persistent link: https://www.econbiz.de/10009645871
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Cover Image
Comparative Ross Risk Aversion in the Presence of Quadrant Dependent Risks
Dionne, Georges; Li, Jingyuan - Centre Interuniversitaire sur le Risque, les Politiques … - 2012
independent, and may be quadrant dependent. We show that our order of cross Ross risk aversion is equivalent to that of partial … risk premium, while our index of decreasing cross Ross risk aversion is equivalent to that of a decreasing partial risk …. Finally, we show that decreasing cross Ross risk aversion gives rise to the utility function family belonging to the class of …
Persistent link: https://www.econbiz.de/10010553144
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Decision making with conditional value-at-risk and spectral risk measures : the problem of comparative risk aversion ; conference paper
Brandtner, Mario; Kürsten, Wolfgang - 2014
exponential and power spectral risk measures cannot be completely ordered with respect to Ross-risk aversion. As a consequence …
Persistent link: https://www.econbiz.de/10010491150
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Cover Image
An Extension of the Consumption-based CAPM Model
Dionne, Georges; Li, Jingyuan; Okou, Cedric - Centre Interuniversitaire sur le Risque, les Politiques … - 2012
We extend the Consumption-based CAPM (C-CAPM) model to representative agents with different risk attitudes. We first use the concept of expectation dependence and show that for a risk averse representative agent, it is the first-degree expectation dependence (FED) rather than the covariance that...
Persistent link: https://www.econbiz.de/10010535500
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