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On the decomposition and characterization of risk

Author

Listed:
  • KHAN, M. Ali

    (Department of Economics, The Johns Hopkins University, Baltimore, United States)

  • SUN, Yeneng

    (Department of Mathematics, National University of Singapore, Singapore)

Abstract

We show that the main theorem in Al-Najjar’s 1995 Econometrica paper is false. We provide additional references for the residual implications that are valid, but point out that these stan- dard implications are incapable of bearing the interpretative weight that Al-Najjar places on them.

Suggested Citation

  • KHAN, M. Ali & SUN, Yeneng, 1997. "On the decomposition and characterization of risk," LIDAM Discussion Papers CORE 1997038, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    • Handle: RePEc:cor:louvco:1997038
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    File URL: https://sites.uclouvain.be/core/publications/coredp/coredp1997.html
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    Cited by:

    1. HEIFETZ, Aviad & MINELLI, Enrico & POLEMARCHAKIS, Heracles, 1999. "Arbitrage and equilibrium with exchangeable risks," LIDAM Discussion Papers CORE 1999046, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

    More about this item

    JEL classification:

    • C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
    • D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General

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