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Downside risk aversion and the downside risk premium

Recurso electrónico / electronic resource
Registro MARC
Tag12Valor
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100  ‎$0‎MAPA20180009365‎$a‎Stapleton, Richard C.
24510‎$a‎Downside risk aversion and the downside risk premium‎$c‎Richard C. Stapleton, Qi Zeng
520  ‎$a‎We search for a definition of the downside risk premium analogous to the Pratt-Arrow definition of the risk premium. However, even in the local analysis difficulties arise. To overcome these, we propose a definition based on the difference between two gambles. Further, a global analysis reveals that higher-order terms affect the downside risk premium and these cannot be ignored. We show that all five measures of the intensity of downside risk aversion that have been suggested are invalid in the case of the global analysis
650 4‎$0‎MAPA20080582951‎$a‎Teoría del riesgo
650 4‎$0‎MAPA20080588953‎$a‎Análisis de riesgos
650 4‎$0‎MAPA20080588434‎$a‎Toma de decisiones
650 4‎$0‎MAPA20080602437‎$a‎Matemática del seguro
7730 ‎$w‎MAP20077000727‎$t‎The Journal of risk and insurance‎$d‎Nueva York : The American Risk and Insurance Association, 1964-‎$x‎0022-4367‎$g‎01/06/2018 Volumen 85 Número 2 - junio 2018 , p. 379-395