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Citations for "An economic index of riskiness"

by Robert J. Aumann & Roberto Serrano

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  1. Kadan, Ohad & Liu, Fang, 2014. "Performance evaluation with high moments and disaster risk," Journal of Financial Economics, Elsevier, vol. 113(1), pages 131-155.
  2. Moti Michaeli, 2014. "Riskiness for sets of gambles," Economic Theory, Springer, vol. 56(3), pages 515-547, August.
  3. Roberto Serrano & Yusuke Kamishiro, 2009. "Equilibrium Blocking In Large Quasilinear Economies," Working Papers wp2009_0911, CEMFI.
  4. 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.
  5. Manuel Arellano & Lars Peter Hansen & Enrique Sentana, 2009. "Underidentification?," CeMMAP working papers CWP24/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  6. Max Bruche, 2009. "Bankruptcy Codes, Liquidation Timing, And Debt Valuation," Working Papers wp2009_0902, CEMFI.
  7. Serrano, Roberto & Vohra, Rajiv, 2010. "Multiplicity of mixed equilibria in mechanisms: A unified approach to exact and approximate implementation," Journal of Mathematical Economics, Elsevier, vol. 46(5), pages 775-785, September.
  8. Roberto Serrano, 2009. "On Watson's Non-Forcing Contracts and Renegotiation," Economics Bulletin, AccessEcon, vol. 29(3), pages 2350-2360.
  9. Rafael Repullo & Javier Suarez, 2008. "The Procyclical Effects Of Basel Ii," Working Papers wp2008_0809, CEMFI.
  10. Guo, Xu & Post, Thierry & Wong, Wing-Keung & Zhu, Lixing, 2013. "Moment Conditions for Almost Stochastic Dominance," MPRA Paper 51725, University Library of Munich, Germany.
  11. 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.
  12. Schreiber, Amnon, 2015. "A note on Aumann and Serrano’s index of riskiness," Economics Letters, Elsevier, vol. 131(C), pages 9-11.
  13. 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.
  14. Alejandro Balbás & Beatriz Balbás & Raquel Balbás, 2013. "On the inefficiency of Brownian motions and heavier tailed price processes," Business Economics Working Papers id-13-01, Universidad Carlos III, Instituto sobre Desarrollo Empresarial (INDEM).
  15. Hellmann, Tobias & Riedel, Frank, 2015. "The Foster-Hart measure of riskiness for general gambles," Theoretical Economics, Econometric Society, vol. 10(1), January.
  16. 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.
  17. 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.
  18. Schnytzer, Adi & Westreich, Sara, 2013. "A global index of riskiness," Economics Letters, Elsevier, vol. 118(3), pages 493-496.
  19. Amnon Schreiber, 2014. "Economic indices of absolute and relative riskiness," Economic Theory, Springer, vol. 56(2), pages 309-331, June.
  20. 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.
  21. Gollier, Christian & Hammitt, James & Treich, Nicolas, 2013. "Risk and Choice: A Research Saga," TSE Working Papers 13-444, Toulouse School of Economics (TSE).
  22. Li, Minqiang, 2013. "On Aumann and Serrano's Economic Index of Risk," MPRA Paper 47466, University Library of Munich, Germany.
  23. A. Mantovi, 2013. "Mapping completely proper rationality," Economics Department Working Papers 2013-EP01, Department of Economics, Parma University (Italy).
  24. 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.
  25. Xu, Zuo Quan, 2014. "Investment under duality risk measure," European Journal of Operational Research, Elsevier, vol. 239(3), pages 786-793.
  26. 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.
  27. Alejandro Balbás & Iván Blanco & José Garrido, 2014. "Measuring Risk When Expected Losses Are Unbounded," Risks, MDPI, Open Access Journal, vol. 2(4), pages 411-424, September.
  28. 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.
  29. 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.
  30. 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.
  31. Maier, Johannes & Rüger, Maximilian, 2010. "Measuring Risk Aversion Model-Independently," Discussion Papers in Economics 11873, University of Munich, Department of Economics.
  32. 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.
  33. 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.
  34. Steven Kou & Xianhua Peng, 2014. "On the Measurement of Economic Tail Risk," Papers 1401.4787,, revised Aug 2015.
  35. 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.
  36. 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.
  37. Martinez-Miera, David & Repullo, Rafael, 2008. "Does Competition Reduce the Risk of Bank Failure?," CEPR Discussion Papers 6669, C.E.P.R. Discussion Papers.
  38. repec:hal:wpaper:halshs-00648884 is not listed on IDEAS
  39. Zuo Quan Xu, 2014. "Investment under Duality Risk Measure," Papers 1406.4222,
  40. Adi Schnytzer & Sara Westreich, 2011. "Attitudes to Risk and Roulette," Working Papers 2011-06, Bar-Ilan University, Department of Economics.
  41. Amine Lahiani & Khaled Guesmi, 2014. "Commodity Price Correlation and Time varying Hedge Ratios," Working Papers 2014-142, Department of Research, Ipag Business School.
  42. 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.
  43. Joan Llull, 2008. "The Impact Of Immigration On Productivity," Working Papers wp2008_0802, CEMFI.
  44. 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.
  45. 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.
  46. Klaas Schulze, 2015. "General dual measures of riskiness," Theory and Decision, Springer, vol. 78(2), pages 289-304, February.
  47. 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.
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