Risk-adjusted martingales and the design of ``indifference gambles

DOI10.1007/S11238-010-9213-8zbMATH Open1274.91185OpenAlexW1967111387MaRDI QIDQ763347FDOQ763347

Authors: Ali Abbas 

Publication date: 9 March 2012

Published in: Theory and Decision (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11238-010-9213-8

Recommendations

• Riskiness for sets of gambles
• scientific article; zbMATH DE number 4012262
• Uncertainty Aversion, Risk Aversion, and the Optimal Choice of Portfolio
• Attractive Compounds of Unattractive Investments and Gambles
• A generalization of Pratt-Arrow measure to nonexpected-utility preferences and inseparable probability and utility

zbMATH Keywords

invariancemartingalesexpected utilityrisk aversion

Mathematics Subject Classification ID

Decision theory (91B06) Martingales with discrete parameter (60G42) Utility theory (91B16)

Cites Work

• Theory of games and economic behavior.
• Risk Aversion in the Small and in the Large
• Option pricing: A simplified approach
• A general theory of measurement applications to utility

This page was built for publication: Risk-adjusted martingales and the design of ``indifference gambles

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q763347)