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  • Search: subject:"behavioural Arrow-Pratt risk process"
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Markov process 1 asset pricing 1 asymmetric risk decomposition 1 behavioural Arrow-Pratt risk process 1 local martingale 1 local time change 1
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Free 1
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Book / Working Paper 1
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Undetermined 1
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Cadogan, Godfrey 1
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
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On behavioral Arrow Pratt risk process with applications to risk pricing, stochastic cash flows, and risk control
Cadogan, Godfrey - Volkswirtschaftliche Fakultät, … - 2009
We introduce a closed form behavioural stochastic Arrow-Pratt risk process, decomposed into discrete asymmetric risk seeking and risk averse components that run on different local times in ϵ-disks centered at risk free states. Additionally, we embed Arrow-Pratt (“AP”) risk measure in a...
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