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  • Search: subject:"Ross risk aversion"
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Year of publication
Subject
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Risiko 8 Risikoaversion 8 Risk 8 Risk aversion 8 Theorie 8 Theory 8 Ross risk aversion 6 Comparative cross Ross risk aversion 4 Decreasing cross Ross risk aversion 4 Partial risk premium 4 Risikomanagement 4 Risk management 4 Decision under risk 3 Dependent background risk 3 Entscheidung unter Risiko 3 Expected utility 3 Measurement 3 Messung 3 Risikomaß 3 Risk measure 3 Arrow-Pratt-risk aversion 2 Background risk 2 Erwartungsnutzen 2 Exponential spectral risk measures 2 Nutzenfunktion 2 Power spectral risk measures 2 Risk premium 2 Risk vulnerability 2 Ross-risk aversion 2 Self-protection 2 Spectral risk measures 2 Utility function 2 n-switch independence property 2 Bivariate utility function 1 Comparative risk aversion 1 Conditional Value-at-Risk 1 Consumption-based CAPM 1 Contests 1 Contingent payments 1 Decision analysis 1
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Online availability
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Undetermined 9 Free 4
Type of publication
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Article 11 Book / Working Paper 4
Type of publication (narrower categories)
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Article in journal 7 Aufsatz in Zeitschrift 7 Graue Literatur 1 Konferenzschrift 1 Non-commercial literature 1
Language
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English 9 Undetermined 6
Author
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Li, Jingyuan 7 Dionne, Georges 5 Brandtner, Mario 3 Kürsten, Wolfgang 3 Wang, Jianli 3 Eeckhoudt, Louis 2 Crainich, David 1 Denuit, Michel M. 1 Keenan, Donald C. 1 Le Courtois, Olivier 1 Liu, Liqun 1 Meyer, Jack 1 Okou, Cedric 1 Rettenmaier, Andrew J. 1 Rischau, Robert 1 Saving, Thomas R. 1 Schlesinger, Harris 1 Snow, Arthur 1 Wang, Hongxia 1 Yick, Ho Yin 1
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Institution
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Centre Interuniversitaire sur le Risque, les Politiques Économiques et l'Emploi (CIRPÉE) 3
Published in...
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Journal of Mathematical Economics 4 Cahiers de recherche 3 Journal of mathematical economics 3 Economics letters 1 European journal of operational research : EJOR 1 Journal of banking & finance 1 Journal of risk and uncertainty : JRU 1
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Source
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ECONIS (ZBW) 8 RePEc 7
Showing 1 - 10 of 15
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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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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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Intensity of preferences for bivariate risk apportionment
Crainich, David; Eeckhoudt, Louis; Le Courtois, Olivier - In: Journal of mathematical economics 88 (2020), pp. 153-160
Persistent link: https://www.econbiz.de/10012589941
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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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Comparative Ross risk aversion in the presence of mean dependent risks
Dionne, Georges; Li, Jingyuan - In: Journal of Mathematical Economics 51 (2014) C, pp. 128-135
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 decreasing partial risk premium. These results generalize the …
Persistent link: https://www.econbiz.de/10010786716
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Comparative Ross risk aversion in the presence of mean dependent risks
Dionne, Georges; Li, Jingyuan - In: Journal of mathematical economics 51 (2014), pp. 128-135
Persistent link: https://www.econbiz.de/10010479151
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Entropic risk measures and their comparative statics in portfolio selection : coherence vs. convexity
Brandtner, Mario; Kürsten, Wolfgang; Rischau, Robert - In: European journal of operational research : EJOR 264 (2018) 2, pp. 707-716
Persistent link: https://www.econbiz.de/10011801916
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Willingness to pay for stochastic improvements of future risk under different risk aversion
Wang, Hongxia; Wang, Jianli; Yick, Ho Yin - In: Economics letters 168 (2018), pp. 52-55
Persistent link: https://www.econbiz.de/10012016713
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Risk and risk aversion effects in contests with contingent payments
Liu, Liqun; Meyer, Jack; Rettenmaier, Andrew J.; … - In: Journal of risk and uncertainty : JRU 56 (2018) 3, pp. 289-305
Persistent link: https://www.econbiz.de/10012022877
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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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