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Existence and computation of the Aumann–Serrano index of riskiness and its extension · Study

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ArticleExistence and computation of the Aumann–Serrano index of riskiness and its extension

Klaas Schulze2013

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Articlegreen2013

Existence and computation of the Aumann–Serrano index of riskiness and its extension

50 citations·0/0 files stored·Journal of Mathematical Economics

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Decision-Making and Behavioral Economics Probability and Statistical Research Risk and Portfolio Optimization

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References

1998The Variance Gamma Process and Option Pricing 2008An Economic Index of Riskiness

Cited by

2012Beyond the Sharpe ratio: An application of the Aumann–Serrano index to performance measurement 2013Riskiness-minimizing spot-futures hedge ratio 2017Theory and application of an economic performance measure of risk 2015A new approach to measuring riskiness in the equity market: Implications for the risk premium 2013Economic indices of absolute and relative riskiness 2021Production decisions based on absolute vs. relative risk aversion and their extensions 2017Risk preference evaluation – a fourth dimension of the application of the Laplace transform 2020Short‐term investments and indices of risk

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Year2013

Typearticle

Published2013-12-12

VenueJournal of Mathematical Economics

ISSN-L0304-4068

Languageen

Citations50

Files0 public / 0

ShelfDecision-Making and Behavioral Economics

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doi10.1016/j.jmateco.2013.10.008

openalex_workW3124278638

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