In stochastic environment, variance, semivariance and probability of a bad outcome are three popular definitions of risk for portfolio selection. In fuzzy environment, variance is carried on as the definition of risk. However, in real life, risk is understood in many different ways. In this paper we
Ross' measure of risk aversion and portfolio selection
β Scribed by Josef Hadar; Tae Kun Seo
- Publisher
- Springer
- Year
- 1990
- Tongue
- English
- Weight
- 461 KB
- Volume
- 3
- Category
- Article
- ISSN
- 0895-5646
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
In the expected utility case, the risk-aversion measure is given by the Arrow-Pratt index. Three proposals of a risk-aversion measure for the nonexpected utility case are examined. The first one sets "the second derivative of the acceptance frontier as a measure of local risk aversion." The second o
THE ORDINAL UTILITY UNDER UNCERTAINTY AND THE MEASURE OF RISK AVERSION IN TERMS OF PREFERENCES 1. INTRODUCTION A choice is said to be rational if it follows a criterion, which is usually introduced as a preference model. The von Neumann-Morgenstern theory 1 not only assumes such a rationality but al