The Case of “Less is More”: Modelling Risk-Preference with Expected Downside Risk
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- Mihaly Ormos & Dusan Timotity, 2017. "The case of 'Less is more': Modelling risk-preference with Expected Downside Risk," Papers 1704.05332, arXiv.org.
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More about this item
Keywords
asset pricing; variance; conditional value at risk; expected downside risk; utility theory; behavioral finance;JEL classification:
- G02 - Financial Economics - - General - - - Behavioral Finance: Underlying Principles
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C62 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Existence and Stability Conditions of Equilibrium
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