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Year of publication
Subject
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Value-at-Risk 2 Choquet integral 1 Distorted- probability principle 1 Economic capital 1 Monetary equilibrium 1 Money demand 1 Wang premium principle 1 capital allocation 1 comonotone subadditive functional 1 distorted probability 1 distorted probability principle 1 economic capital 1 widely translation invariant functional 1
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Online availability
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Free 3
Type of publication
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Book / Working Paper 2 Article 1
Language
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Undetermined 3
Author
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Mierzejewski, Fernando 2 Bosi, Gianni 1 Zuanon, Magalí 1
Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 2
Published in...
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MPRA Paper 2 Economics Bulletin 1
Source
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RePEc 3
Showing 1 - 3 of 3
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A note on the axiomatization of Wang premium principle by means of continuity considerations
Bosi, Gianni; Zuanon, Magalí - In: Economics Bulletin 32 (2012) 4, pp. 3158-3165
integral with respect to a (concave) distorted probability. In this paper we present a simple axiomatization of a sublinear …
Persistent link: https://www.econbiz.de/10011278779
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The Short-Run Monetary Equilibrium with Liquidity Constraints
Mierzejewski, Fernando - Volkswirtschaftliche Fakultät, … - 2007
A theoretical framework is presented to characterise the money demand in deregulated markets. The main departure from the perfect capital markets setting is that, instead of assuming that investors can lend and borrow any amount of capital at a single (and exogenously determined) interest rate,...
Persistent link: https://www.econbiz.de/10005836440
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Economic capital allocation under liquidity constraints
Mierzejewski, Fernando - Volkswirtschaftliche Fakultät, … - 2006
Economic Capital is determined by the maximisation of value. Allowing economic decisions to be characterised by a distorted … probability distribution, so assessing the attitude towards risk as well as information and knowledge, the optimal surplus is …
Persistent link: https://www.econbiz.de/10005790336
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