Rationalization of Investment Preference Criteria
Year of publication: |
2011-07
|
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Authors: | Pézier, Jacques |
Institutions: | Henley Business School, University of Reading |
Subject: | Certainty equivalent return | risk-adjusted performance measure | risk aversion | HARA utility functions | coherent risk measures | spectral indices | Sharpe ratio | generalized Sharpe ratio | information ratio | Treynor ratio | Jensen alpha | skewness | kurtosis | volatility skew | optimal structured products | credit risk premium |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Number icma-dp2011-12 |
Classification: | D80 - Information and Uncertainty. General ; D81 - Criteria for Decision-Making under Risk and Uncertainty ; G10 - General Financial Markets. General ; G11 - Portfolio Choice ; G13 - Contingent Pricing; Futures Pricing |
Source: |
-
Maximum Certain Equivalent Excess Returns and Equivalent Preference Criteria Part I - Theory
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Insurance demand and first order risk increases under (μ,σ)-preferences
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Caballe, J., (1995)
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