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Citations for "An Economic Index of Riskiness"

by Robert J. Aumann & Roberto Serrano

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  1. Steven Kou & Xianhua Peng, 2014. "On the Measurement of Economic Tail Risk," Papers 1401.4787, arXiv.org, revised Aug 2015.
  2. David B. BROWN & Enrico G. DE GIORGI & Melvyn SIM, . "A Satiscing Alternative to Prospect Theory," Swiss Finance Institute Research Paper Series 09-19, Swiss Finance Institute.
  3. Yusuke Kamishiro & Roberto Serrano, 2009. "Equilibrium blocking in large quasilinear economies," Working Papers 2009-12, Instituto Madrileño de Estudios Avanzados (IMDEA) Ciencias Sociales.
  4. Gollier, Christian & Hammitt, James & Treich, Nicolas, 2013. "Risk and Choice: A Research Saga," TSE Working Papers 13-444, Toulouse School of Economics (TSE).
  5. Adi Schnytzer & Sara Westreich, 2011. "False Consciousness in Financial Markets: Or is it in Ivory Towers?," Working Papers 2011-07, Bar-Ilan University, Department of Economics.
  6. Homm, Ulrich & Pigorsch, Christian, 2012. "An operational interpretation and existence of the Aumann–Serrano index of riskiness," Economics Letters, Elsevier, vol. 114(3), pages 265-267.
  7. Manuel Arellano & Lars P. Hansen & Enrique Sentana, 2000. "Underidentification?," Econometric Society World Congress 2000 Contributed Papers 1824, Econometric Society.
  8. Hellmann, Tobias & Riedel, Frank, 2015. "The Foster-Hart measure of riskiness for general gambles," Theoretical Economics, Econometric Society, vol. 10(1), January.
  9. Roberto Serrano, 2009. "On Watson's Non-Forcing Contracts and Renegotiation," Economics Bulletin, AccessEcon, vol. 29(3), pages 2350-2360.
  10. Minqiang Li, 2014. "Aumann and Serrano's economic index of risk for sums of gambles," Cogent Economics & Finance, Taylor & Francis Journals, vol. 2(1), pages 1-5, December.
  11. Schnytzer, Adi & Westreich, Sara, 2013. "A global index of riskiness," Economics Letters, Elsevier, vol. 118(3), pages 493-496.
  12. Roberto Serrano & Rajiv Vohra, 2009. "Multiplicity of mixed equilibria in mechanisms: A unified approach to exact and approximate implementation," Working Papers 2009-08, Instituto Madrileño de Estudios Avanzados (IMDEA) Ciencias Sociales.
  13. Martinez-Miera, David & Repullo, Rafael, 2008. "Does Competition Reduce the Risk of Bank Failure?," CEPR Discussion Papers 6669, C.E.P.R. Discussion Papers.
  14. Guo, Xu & Post, Thierry & Wong, Wing-Keung & Zhu, Lixing, 2013. "Moment Conditions for Almost Stochastic Dominance," MPRA Paper 51725, University Library of Munich, Germany.
  15. Amnon Schreiber, 2012. "An Economic Index of Relative Riskiness," Discussion Paper Series dp597, The Federmann Center for the Study of Rationality, the Hebrew University, Jerusalem.
  16. David B. Brown & Enrico De Giorgi & Melvyn Sim, 2012. "Aspirational Preferences and Their Representation by Risk Measures," Management Science, INFORMS, vol. 58(11), pages 2095-2113, November.
  17. Balbás, Raquel & Balbás, Beatriz & Balbás, Alejandro, 2016. "VaR as the CVaR sensitivity : applications in risk optimization," INDEM - Working Paper Business Economic Series id-16-01, Instituto para el Desarrollo Empresarial (INDEM).
  18. Gustavo Silva Araújo & José Valentim Machado Vicente, 2014. "Indicadores Antecedentes Extraídos de Preços de Ativos em Corte Transversal," Working Papers Series 361, Central Bank of Brazil, Research Department.
  19. Michał Lewandowski, 2013. "Risk Attitudes, Buying and Selling Price for a Lottery and Simple Strategies," Central European Journal of Economic Modelling and Econometrics, CEJEME, vol. 5(1), pages 1-34, March.
  20. Chamorro Elosua, Arritokieta & Usategui Díaz de Otalora, José María, 2013. "A Note on Risk Acceptance, Bankruptcy Avoidance and Riskiness Measures," DFAEII Working Papers 10739, University of the Basque Country - Department of Foundations of Economic Analysis II.
  21. Chen, Yi-Ting & Ho, Keng-Yu & Tzeng, Larry Y., 2014. "Riskiness-minimizing spot-futures hedge ratio," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 154-164.
  22. Kadan, Ohad & Liu, Fang, 2014. "Performance evaluation with high moments and disaster risk," Journal of Financial Economics, Elsevier, vol. 113(1), pages 131-155.
  23. 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.
  24. Li, Minqiang, 2013. "On Aumann and Serrano's Economic Index of Risk," MPRA Paper 47466, University Library of Munich, Germany.
  25. Maier, Johannes & Rüger, Maximilian, 2010. "Measuring Risk Aversion Model-Independently," Discussion Papers in Economics 11873, University of Munich, Department of Economics.
  26. Amine Lahiani & Khaled Guesmi, 2014. "Commodity Price Correlation and Time varying Hedge Ratios," Working Papers 2014-142, Department of Research, Ipag Business School.
  27. Schulze, Klaas, 2014. "Existence and computation of the Aumann–Serrano index of riskiness and its extension," Journal of Mathematical Economics, Elsevier, vol. 50(C), pages 219-224.
  28. Amnon Schreiber, 2014. "Economic indices of absolute and relative riskiness," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 56(2), pages 309-331, June.
  29. Ehsani, Sina & Lien, Donald, 2015. "A note on minimum riskiness hedge ratio," Finance Research Letters, Elsevier, vol. 15(C), pages 11-17.
  30. Pinto, Cristian F. & Acuña, Andres A., 2011. "Consistencia de la evaluación de desempeño de inversiones financieras: Pruebas de dominación estocástica versus índices media-varianza
    [Consistency in the evaluation of financial investment perform
    ," MPRA Paper 31301, University Library of Munich, Germany.
  31. Kent Smetters & Xingtan Zhang, 2013. "A Sharper Ratio: A General Measure for Correctly Ranking Non-Normal Investment Risks," NBER Working Papers 19500, National Bureau of Economic Research, Inc.
  32. repec:hal:wpaper:halshs-00648884 is not listed on IDEAS
  33. A. Mantovi, 2013. "Mapping completely proper rationality," Economics Department Working Papers 2013-EP01, Department of Economics, Parma University (Italy).
  34. Bosch-Badia, Maria Teresa & Montllor-Serrats, Joan & Tarrazon-Rodon, Maria-Antonia, 2014. "Unveiling the embedded coherence in divergent performance rankings," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 154-165.
  35. Max Bruche, 2009. "Bankruptcy Codes, Liquidation Timing, And Debt Valuation," Working Papers wp2009_0902, CEMFI.
  36. Zuo Quan Xu, 2014. "Investment under Duality Risk Measure," Papers 1406.4222, arXiv.org.
  37. David B. Brown & Melvyn Sim, 2009. "Satisficing Measures for Analysis of Risky Positions," Management Science, INFORMS, vol. 55(1), pages 71-84, January.
  38. Tomer Siedner, 2015. "Risk of Monetary Gambles: An Axiomatic Approach," Discussion Paper Series dp682, The Federmann Center for the Study of Rationality, the Hebrew University, Jerusalem.
  39. Balbás, Raquel & Balbás, Beatriz & Balbás, Alejandro, 2016. "Coherent Pricing," INDEM - Working Paper Business Economic Series 22932, Instituto para el Desarrollo Empresarial (INDEM).
  40. Enrico G. De Giorgi & David B. Brown & Melvyn Sim, 2010. "Dual representation of choice and aspirational preferences," University of St. Gallen Department of Economics working paper series 2010 2010-07, Department of Economics, University of St. Gallen.
  41. Chrisopher J. Bennett & Brennan S. Thompson, 2012. "Moving the Goalposts: Subjective Performance Benchmarks and the Aumann-Serrano Measure of Riskiness," Working Papers 057, Ryerson University, Department of Economics, revised Oct 2014.
  42. Matthias Leiss & Heinrich H. Nax, 2015. "Option-implied objective measures of market risk," LSE Research Online Documents on Economics 65446, London School of Economics and Political Science, LSE Library.
  43. Schreiber, Amnon, 2015. "A note on Aumann and Serrano’s index of riskiness," Economics Letters, Elsevier, vol. 131(C), pages 9-11.
  44. Rafael Repullo & Javier Suarez, 2008. "The Procyclical Effects Of Basel Ii," Working Papers wp2008_0809, CEMFI.
  45. Joan Llull, 2008. "The Impact Of Immigration On Productivity," Working Papers wp2008_0802, CEMFI.
  46. Adi Schnytzer & Sara Westreich, 2011. "Attitudes to Risk and Roulette," Working Papers 2011-06, Bar-Ilan University, Department of Economics.
  47. Turan G. Bali & Nusret Cakici & Fousseni Chabi-Yo, 2011. "A Generalized Measure of Riskiness," Management Science, INFORMS, vol. 57(8), pages 1406-1423, August.
  48. Schuhmacher, Frank & Auer, Benjamin R., 2014. "Sufficient conditions under which SSD- and MR-efficient sets are identical," European Journal of Operational Research, Elsevier, vol. 239(3), pages 756-763.
  49. Balbás, Raquel & Balbás, Beatriz & Balbás, Alejandro, 2013. "On the inefficiency of Brownian motions and heavier tailed price processes," INDEM - Working Paper Business Economic Series id-13-01, Instituto para el Desarrollo Empresarial (INDEM).
  50. Klaas Schulze, 2015. "General dual measures of riskiness," Theory and Decision, Springer, vol. 78(2), pages 289-304, February.
  51. Bali, Turan G. & Cakici, Nusret & Chabi-Yo, Fousseni, 2015. "A new approach to measuring riskiness in the equity market: Implications for the risk premium," Journal of Banking & Finance, Elsevier, vol. 57(C), pages 101-117.
  52. Alejandro Balbás & Iván Blanco & José Garrido, 2014. "Measuring Risk When Expected Losses Are Unbounded," Risks, MDPI, Open Access Journal, vol. 2(4), pages 411, September.
  53. Xu, Zuo Quan, 2014. "Investment under duality risk measure," European Journal of Operational Research, Elsevier, vol. 239(3), pages 786-793.
  54. Moti Michaeli, 2014. "Riskiness for sets of gambles," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 56(3), pages 515-547, August.
  55. Haim Shalit, 2014. "Measuring Risk In Israeli Mutual Funds: Conditional Value-At-Risk Vs. Aumann-Serrano Riskiness Index," Working Papers 1409, Ben-Gurion University of the Negev, Department of Economics.
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