Article2008

Properties of selling and buying prices

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Decision-Making and Behavioral Economics Stochastic processes and financial applications Risk and Portfolio Optimization

Abstract

We characterize the utilities for which the selling and buying prices have some desirable properties as: translation invariance, additivity, positive homogeneity and others. The results are obtained in the framework of Expected Utility Principle.

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2008Modern Actuarial Risk Theory 2003A Unified Approach to Generate Risk Measures

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