Pesquisa de referências

Downside risk aversion and the downside risk premium

<?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="http://www.loc.gov/MARC21/slim http://www.loc.gov/standards/marcxml/schema/MARC21slim.xsd">
  <record>
    <leader>00000cab a2200000   4500</leader>
    <controlfield tag="001">MAP20180020056</controlfield>
    <controlfield tag="003">MAP</controlfield>
    <controlfield tag="005">20180828145644.0</controlfield>
    <controlfield tag="008">180702e20180601usa|||p      |0|||b|eng d</controlfield>
    <datafield tag="040" ind1=" " ind2=" ">
      <subfield code="a">MAP</subfield>
      <subfield code="b">spa</subfield>
      <subfield code="d">MAP</subfield>
    </datafield>
    <datafield tag="084" ind1=" " ind2=" ">
      <subfield code="a">6</subfield>
    </datafield>
    <datafield tag="100" ind1=" " ind2=" ">
      <subfield code="0">MAPA20180009365</subfield>
      <subfield code="a">Stapleton, Richard C.</subfield>
    </datafield>
    <datafield tag="245" ind1="1" ind2="0">
      <subfield code="a">Downside risk aversion and the downside risk premium</subfield>
      <subfield code="c">Richard C. Stapleton, Qi Zeng</subfield>
    </datafield>
    <datafield tag="520" ind1=" " ind2=" ">
      <subfield code="a">We 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</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080582951</subfield>
      <subfield code="a">Teoría del riesgo</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080588953</subfield>
      <subfield code="a">Análisis de riesgos</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080588434</subfield>
      <subfield code="a">Toma de decisiones</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080602437</subfield>
      <subfield code="a">Matemática del seguro</subfield>
    </datafield>
    <datafield tag="773" ind1="0" ind2=" ">
      <subfield code="w">MAP20077000727</subfield>
      <subfield code="t">The Journal of risk and insurance</subfield>
      <subfield code="d">Nueva York : The American Risk and Insurance Association, 1964-</subfield>
      <subfield code="x">0022-4367</subfield>
      <subfield code="g">01/06/2018 Volumen 85 Número 2 - junio 2018 , p. 379-395</subfield>
    </datafield>
  </record>
</collection>