A Matrix Measure of Multivariate Local Risk Aversion

Cited in

(23)

A note on the generalised measures of risk aversion
Multivariate risk premiums
Many good risks: An interpretation of multivariate risk and risk aversion without the independence axiom
Univariate and multivariate measures of risk aversion and risk premiums
Possibilistic risk aversion in group decisions: theory with application in the insurance of giga-investments valued through the fuzzy pay-off method
Health and portfolio choices: a diffidence approach
On the correspondence between multivariate risk aversion and risk aversion with state-dependent preferences
A strong (Ross) characterization of multivariate risk aversion
Concavity, stochastic utility, and risk aversion
Multidimensional risk aversion: the cardinal sin
The stochastic interdependence of dynamic risk-sensitive decision rules
On alternative methods of generating risk sensitive decision rules
Parametric certainty equivalence procedures in decision-making under uncertainty
Decomposing the cross derivatives of a multiattribute utility function into risk attitude and value
Investment decisions when utility depends on wealth and other attributes
Risk premium for dependent risks using utility copulas and risk aversion
Risk aversion, prudence and mixed optimal saving models
Discrete time Wishart term structure models
Risk, ambiguity, and state-preference theory
Bi-attribute utility preference robust optimization: a continuous piecewise linear approximation approach
Multivariate decision-making
A contribution to duality theory, applied to the measurement of risk aversion
Risk neutrality regions

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