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Utility Maximization, Risk Aversion, and Stochastic Dominance
Utility maximization, risk aversion, stochastic dominance
2011/7/22
Consider an investor trading dynamically to maximize expected utility from terminal wealth. Our aim is to study the dependence between her risk aversion and the distribution of the optimal terminal pa...
Stochastic Dominance and Risk Measure: A Decision-Theoretic Foundation for VaR and C-VaR
downside risk value-at-risk conditional-VaR stochastic dominance utility
2011/4/6
Is it possible to obtain an objective and quantifiable measure of risk backed up by choices made by some specific groups of rational investors? To answer this question, in this paper we establish some...