Preparing for the Worst

DOI10.1002/0471686522MaRDI QIDQ3155850zbMATH OpenOpenAlexFDO

Authors H. D. Vinod, Derrick P. Reagle

Publication date 18 January 2005

Published in Wiley Series in Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/0471686522

zbMATH Keywords

capital asset pricing modeldownside riskforecasthedgingoption pricingutility theory

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Utility theory (91B16)

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Cited in

(2)

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• A method of calculating the downside risk by multivariate nonnormal distributions

Describes a project that uses

Uses Software

• mathStatica

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