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Compatibility of expected utility and μ/σ approaches to risk for a class of non location–scale distributions

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Author Info

  • Gerry Boyle

    ()

  • Denis Conniffe

    ()

Abstract

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File URL: http://hdl.handle.net/10.1007/s00199-007-0244-5
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Bibliographic Info

Article provided by Springer in its journal Economic Theory.

Volume (Year): 35 (2008)
Issue (Month): 2 (May)
Pages: 343-366

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Handle: RePEc:spr:joecth:v:35:y:2008:i:2:p:343-366

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Web page: http://link.springer.de/link/service/journals/00199/index.htm

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Related research

Keywords: Expected utility; Mean variance analysis; Location–scale distributions; D81; G11;

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References

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  1. Bierwag, G O, 1974. "The Rationale of the Mean-Standard Deviation Analysis: Comment," American Economic Review, American Economic Association, vol. 64(3), pages 431-33, June.
  2. Kimball, Miles S, 1993. "Standard Risk Aversion," Econometrica, Econometric Society, vol. 61(3), pages 589-611, May.
  3. Borch, Karl, 1974. "The Rationale of the Mean-Standard Deviation Analysis: Comment," American Economic Review, American Economic Association, vol. 64(3), pages 428-30, June.
  4. Levy, Haim, 1974. "The Rationale of the Mean-Standard Deviation Analysis: Comment," American Economic Review, American Economic Association, vol. 64(3), pages 434-41, June.
  5. Thomas Eichner & Andreas Wagener, 2001. "More on Parametric Characterizations of Risk Aversion and Prudence," Volkswirtschaftliche Diskussionsbeiträge 99-01, Universität Siegen, Fakultät Wirtschaftswissenschaften, Wirtschaftsinformatik und Wirtschaftsrecht.
  6. Pratt, John W & Zeckhauser, Richard J, 1987. "Proper Risk Aversion," Econometrica, Econometric Society, vol. 55(1), pages 143-54, January.
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Cited by:
  1. Homm, Ulrich & Pigorsch, Christian, 2012. "Beyond the Sharpe ratio: An application of the Aumann–Serrano index to performance measurement," Journal of Banking & Finance, Elsevier, vol. 36(8), pages 2274-2284.

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