On behavioral Arrow Pratt risk process with applications to risk pricing, stochastic cash flows, and risk control
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References listed on IDEAS
- Carlo Acerbi, 2001. "Risk Aversion and Coherent Risk Measures: a Spectral Representation Theorem," Papers cond-mat/0107190, arXiv.org.
More about this item
Keywordsbehavioural Arrow-Pratt risk process; asymmetric risk decomposition; asset pricing; Markov process; local martingale; local time change;
- D03 - Microeconomics - - General - - - Behavioral Microeconomics: Underlying Principles
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- C00 - Mathematical and Quantitative Methods - - General - - - General
- G31 - Financial Economics - - Corporate Finance and Governance - - - Capital Budgeting; Fixed Investment and Inventory Studies
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-02-05 (All new papers)
- NEP-BEC-2010-02-05 (Business Economics)
- NEP-RMG-2010-02-05 (Risk Management)
- NEP-UPT-2010-02-05 (Utility Models & Prospect Theory)
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