Prospect Theory, Indifference Curves, and Hedging Risks
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Publication:4933266
DOI10.1093/amrx/abq013zbMath1231.91097OpenAlexW3124576329MaRDI QIDQ4933266
Martín Egozcue, Wing-Keung Wong, Ričardas Zitikis, Udo Broll
Publication date: 12 October 2010
Published in: Applied Mathematics Research eXpress (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1093/amrx/abq013
Related Items (5)
An improved estimation to make Markowitz's portfolio optimization theory users friendly and estimation accurate with application on the US stock market investment ⋮ Grüss-type bounds for covariances and the notion of quadrant dependence in expectation ⋮ Test statistics for prospect and Markowitz stochastic dominances with applications ⋮ Log-supermodularity of weight functions, ordering weighted losses, and the loading monotonicity of weighted premiums ⋮ Some covariance inequalities for non-monotonic functions with applications to mean-variance indifference curves and bank hedging
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