Determination of risk pricing measures from market prices of risk
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- Henryk Gzyl & Silvia Mayoral, 2007. "Determination of Risk Pricing Measures from Market Prices of Risk," Faculty Working Papers 03/07, School of Economics and Business Administration, University of Navarra.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Gzyl, Henryk & Mayoral, Silvia, 2010. "A method for determining risk aversion functions from uncertain market prices of risk," Insurance: Mathematics and Economics, Elsevier, vol. 47(1), pages 84-89, August.
More about this item
KeywordsDistortion function Spectral measures Risk aversion function Maximum entropy in the mean Inverse problems;
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