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

DOI10.1007/S11238-010-9213-8MaRDI QIDQ763347zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

expected utilityinvariancemartingalesrisk aversion

Mathematics Subject Classification ID

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

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Cites work

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

Cited in

(1)

• Von Neumann-Morgenstern axioms of rationality and inequalities in analysis

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