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Bid and Ask Prices Tailored to Traders' Risk Aversion and Gain Propension: a Normative Approach

Author

Listed:
  • Marta Cardin

    (Department of Economics University CÃ Foscari of Venice, Italy)

  • Bennett Eisenberg

    (Department of Mathematics University Bethlehem, United States of America)

  • Luisa Tibiletti

    (Department of Management University of Torino, Italy)

Abstract

Risky asset bid and ask prices “tailored” to the risk-aversion and the gain-propension of the traders are set up. They are calculated through the principle of the Extended Gini premium, a standard method used in non-life insurance. Explicit formulae for the most common stochastic distributions of risky returns, are calculated. Sufficient and necessary conditions for successful trading are also discussed.

Suggested Citation

  • Marta Cardin & Bennett Eisenberg & Luisa Tibiletti, 2012. "Bid and Ask Prices Tailored to Traders' Risk Aversion and Gain Propension: a Normative Approach," International Journal of Business Research and Management (IJBRM), Computer Science Journals (CSC Journals), vol. 3(6), pages 294-306, December.
    • Handle: RePEc:aml:intbrm:v:3:y:2012:i:6:p:294-306
    as

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    References listed on IDEAS

    as
    1. Shlomo Yitzhaki & Edna Schechtman, 2005. "The properties of the extended Gini measures of variability and inequality," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(3), pages 401-433.
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    5. Samuel Kotz & Christian Kleiber, 2002. "A characterization of income distributions in terms of generalized Gini coefficients," Social Choice and Welfare, Springer;The Society for Social Choice and Welfare, vol. 19(4), pages 789-794.
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Extended Gini Index; Bid and Ask prices; Pessimism and Optimism indices;
    All these keywords.

    JEL classification:

    • M0 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - General

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