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An Economic Index of Riskiness

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Cited by:

  1. Niu, Cuizhen & Guo, Xu & McAleer, Michael & Wong, Wing-Keung, 2018. "Theory and application of an economic performance measure of risk," International Review of Economics & Finance, Elsevier, vol. 56(C), pages 383-396.
  2. Richard Lu & Chen-Chen Yang & Wing-Keung Wong, 2018. "Time Diversification: Perspectives From The Economic Index Of Riskiness," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 13(03), pages 1-15, September.
  3. Louis Eeckhoudt & Liqun Liu & Jack Meyer, 2017. "Restricted increases in risk aversion and their application," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 64(1), pages 161-181, June.
  4. Cosimo Munari & Stefan Weber & Lutz Wilhelmy, 2023. "Capital requirements and claims recovery: A new perspective on solvency regulation," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 90(2), pages 329-380, June.
  5. Yusuke Kamishiro & Roberto Serrano, 2009. "Equilibrium Blocking in Large Quasilinear Economies," Working Papers wp2009_0911, CEMFI.
  6. Pinto, Cristian F. & Acuña, Andres A., 2011. "Consistencia de la evaluación de desempeño de inversiones financieras: Pruebas de dominación estocástica versus índices media-varianza [Consistency in the evaluation of financial investment perform," MPRA Paper 31301, University Library of Munich, Germany.
  7. Roberto Serrano, 2009. "On Watson's Non-Forcing Contracts and Renegotiation," Economics Bulletin, AccessEcon, vol. 29(3), pages 2350-2360.
  8. Jianjun Miao, 2022. "Introduction to the special issue in honor of Larry Epstein," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 74(2), pages 329-333, September.
  9. Antonio Cabrales & Olivier Gossner & Roberto Serrano, 2013. "Entropy and the Value of Information for Investors," American Economic Review, American Economic Association, vol. 103(1), pages 360-377, February.
  10. Antonio Cabrales & Olivier Gossner & Roberto Serrano, 2012. "The Appeal of Information Transactions," Working Papers 2012-13, Brown University, Department of Economics.
  11. K. W. Soh & C. Walker & M. O’Sullivan & J. Wallace, 2024. "Innovative operating room scheduling metric for creating surgical lists with desirable room utilisation rates," Operations Management Research, Springer, vol. 17(2), pages 544-567, June.
  12. Guo, Xu & Post, Thierry & Wong, Wing-Keung & Zhu, Lixing, 2014. "Moment conditions for Almost Stochastic Dominance," Economics Letters, Elsevier, vol. 124(2), pages 163-167.
  13. Richard Lu & Adrian (Wai Kong) Cheung & Vu T. Hoang & Sardar M. N. Islam, 2021. "Which measure of systematic risk should we use? An empirical study on systematical risk and Treynor measure using the economic index of riskiness and operational measure of riskiness," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 1739-1744, April.
  14. Xi Zhi Lim, 2021. "Ordered Reference Dependent Choice," Papers 2105.12915, arXiv.org, revised Feb 2024.
  15. Patrick Jaillet & Jin Qi & Melvyn Sim, 2016. "Routing Optimization Under Uncertainty," Operations Research, INFORMS, vol. 64(1), pages 186-200, February.
  16. Rafael Repullo & Javier Suarez, 2008. "The Procyclical Effects of Basel II," Working Papers wp2008_0809, CEMFI.
  17. Yu Zhang & Zhenzhen Zhang & Andrew Lim & Melvyn Sim, 2021. "Robust Data-Driven Vehicle Routing with Time Windows," Operations Research, INFORMS, vol. 69(2), pages 469-485, March.
  18. Chrisopher J. Bennett & Brennan S. Thompson, 2012. "Moving the Goalposts: Subjective Performance Benchmarks and the Aumann-Serrano Measure of Riskiness," Working Papers 057, Toronto Metropolitan University, Department of Economics, revised Oct 2014.
  19. , & ,, 2015. "The Foster-Hart measure of riskiness for general gambles," Theoretical Economics, Econometric Society, vol. 10(1), January.
  20. Dean P. Foster & Sergiu Hart, 2009. "An Operational Measure of Riskiness," Journal of Political Economy, University of Chicago Press, vol. 117(5), pages 785-814.
  21. repec:cte:idrepe:id-16-01 is not listed on IDEAS
  22. repec:cte:idrepe:22932 is not listed on IDEAS
  23. Zuo Quan Xu, 2014. "Investment under Duality Risk Measure," Papers 1406.4222, arXiv.org.
  24. Kent Smetters & Xingtan Zhang, 2013. "A Sharper Ratio: A General Measure for Correctly Ranking Non-Normal Investment Risks," NBER Working Papers 19500, National Bureau of Economic Research, Inc.
  25. Jiro Hodoshima, 2021. "Evaluation of performance of stock and real estate investment trust markets in Japan," Empirical Economics, Springer, vol. 61(1), pages 101-120, July.
  26. Marilyn Pease & Mark Whitmeyer, 2024. "How to Make an Action Better," Papers 2408.09294, arXiv.org, revised Nov 2024.
  27. Jiro Hodoshima & Tetsuya Misawa & Yoshio Miyahara, 2020. "Stock Performance Evaluation Incorporating High Moments and Disaster Risk: Evidence from Japan," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 27(2), pages 155-174, June.
  28. Heller, Yuval & Schreiber, Amnon, 2020. "Short-term investments and indices of risk," Theoretical Economics, Econometric Society, vol. 15(3), July.
  29. Dalmeijer, K. & Spliet, R. & Wagelmans, A.P.M., 2019. "Dynamic Time Window Adjustment," Econometric Institute Research Papers EI2019-22, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  30. Max Bruche, 2009. "Bankruptcy Codes, Liquidation Timing, and Debt Valuation," Working Papers wp2009_0902, CEMFI.
  31. Leiss, Matthias & Nax, Heinrich H., 2015. "Option-implied objective measures of market risk," LSE Research Online Documents on Economics 65446, London School of Economics and Political Science, LSE Library.
  32. David B. BROWN & Enrico G. DE GIORGI & Melvyn SIM, 2009. "A Satiscing Alternative to Prospect Theory," Swiss Finance Institute Research Paper Series 09-19, Swiss Finance Institute.
  33. Balbás, Beatriz & Balbás, Raquel, 2013. "On the inefficiency of Brownian motions and heavier tailed price processes," IC3JM - Estudios = Working Papers id-13-01, Instituto Mixto Carlos III - Juan March de Ciencias Sociales (IC3JM).
  34. Hougaard, Jens Leth & Moreno-Ternero, Juan D. & Tvede, Mich & Østerdal, Lars Peter, 2017. "Sharing the proceeds from a hierarchical venture," Games and Economic Behavior, Elsevier, vol. 102(C), pages 98-110.
  35. Andrea Attar & Thomas Mariotti & François Salanié, 2022. "Regulating Insurance Markets: Multiple Contracting And Adverse Selection," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 63(3), pages 981-1020, August.
  36. Minqiang Li, 2014. "On Aumann and Serrano’s economic index of risk," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 55(2), pages 415-437, February.
  37. Attar, Andrea & Mariotti, Thomas & Salanié, François, 2014. "Multiple Contracting in Insurance Markets," IDEI Working Papers 839, Institut d'Économie Industrielle (IDEI), Toulouse, revised Sep 2016.
  38. Joan Llull, 2008. "The Impact of Immigration on Productivity," Working Papers wp2008_0802, CEMFI.
  39. Tsiakas, Ilias & Li, Jiahan & Zhang, Haibin, 2020. "Equity premium prediction and the state of the economy," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 75-95.
  40. Barbi, Massimiliano & Romagnoli, Silvia, 2018. "Skewness, basis risk, and optimal futures demand," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 14-29.
  41. Marina Resta, 2016. "VaRSOM: A Tool to Monitor Markets' Stability Based on Value at Risk and Self‐Organizing Maps," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 23(1-2), pages 47-64, January.
  42. Schreiber, Amnon, 2015. "A note on Aumann and Serrano’s index of riskiness," Economics Letters, Elsevier, vol. 131(C), pages 9-11.
  43. Courtois, Olivier Le & Xu, Xia, 2023. "Semivariance below the maximum: Assessing the performance of economic and financial prospects," Journal of Economic Behavior & Organization, Elsevier, vol. 209(C), pages 185-199.
  44. Cosimo Munari & Lutz Wilhelmy & Stefan Weber, 2021. "Capital Requirements and Claims Recovery: A New Perspective on Solvency Regulation," Papers 2107.10635, arXiv.org.
  45. David B. Brown & Melvyn Sim, 2009. "Satisficing Measures for Analysis of Risky Positions," Management Science, INFORMS, vol. 55(1), pages 71-84, January.
  46. Lucy Gongtao Chen & Daniel Zhuoyu Long & Melvyn Sim, 2015. "On Dynamic Decision Making to Meet Consumption Targets," Operations Research, INFORMS, vol. 63(5), pages 1117-1130, October.
  47. Kuang-Liang Chang & Charles Ka Yui Leung, 2022. "How did the asset markets change after the Global Financial Crisis?," Chapters, in: Charles K.Y. Leung (ed.), Handbook of Real Estate and Macroeconomics, chapter 12, pages 312-336, Edward Elgar Publishing.
  48. Grubbström, Robert W., 2021. "Production decisions based on absolute vs. relative risk aversion and their extensions," International Journal of Production Economics, Elsevier, vol. 234(C).
  49. Mankiw, N. Gregory & Reis, Ricardo, 2010. "Imperfect Information and Aggregate Supply," Handbook of Monetary Economics, in: Benjamin M. Friedman & Michael Woodford (ed.), Handbook of Monetary Economics, edition 1, volume 3, chapter 5, pages 183-229, Elsevier.
  50. Xiaosheng Mu & Luciano Pomatto & Philipp Strack & Omer Tamuz, 2020. "Background risk and small-stakes risk aversion," Papers 2010.08033, arXiv.org, revised Mar 2021.
  51. David Martinez-Miera & Rafael Repullo, 2010. "Does Competition Reduce the Risk of Bank Failure?," The Review of Financial Studies, Society for Financial Studies, vol. 23(10), pages 3638-3664, October.
  52. Xu, Zuo Quan, 2014. "Investment under duality risk measure," European Journal of Operational Research, Elsevier, vol. 239(3), pages 786-793.
  53. Steven Kou & Xianhua Peng, 2016. "On the Measurement of Economic Tail Risk," Operations Research, INFORMS, vol. 64(5), pages 1056-1072, October.
  54. Sergiu Hart, 2011. "Comparing Risks by Acceptance and Rejection," Journal of Political Economy, University of Chicago Press, vol. 119(4), pages 617-638.
  55. Ehsani, Sina & Lien, Donald, 2015. "A note on minimum riskiness hedge ratio," Finance Research Letters, Elsevier, vol. 15(C), pages 11-17.
  56. Toshiyuki Yam awake & Joseph Sheely & Roberto Serrano & Jiro Hodoshima, 2022. "Comparative Performance of Cryptocurrencies through the Aumann and Serrano Economic Index of Riskiness," Working Papers 2022-007, Brown University, Department of Economics.
  57. Adi Schnytzer & Sara Westreich, 2011. "False Consciousness in Financial Markets: Or is it in Ivory Towers?," Working Papers 2011-07, Bar-Ilan University, Department of Economics.
  58. Wang, Yudong & Geng, Qianjie & Meng, Fanyi, 2019. "Futures hedging in crude oil markets: A comparison between minimum-variance and minimum-risk frameworks," Energy, Elsevier, vol. 181(C), pages 815-826.
  59. Amine Lahiani & Khaled Guesmi, 2014. "Commodity Price Correlation and Time varying Hedge Ratios," Working Papers 2014-142, Department of Research, Ipag Business School.
  60. Felix-Benedikt Liebrich & Gregor Svindland, 2017. "Model Spaces for Risk Measures," Papers 1703.01137, arXiv.org, revised Nov 2017.
  61. Cabrales, Antonio & Gossner, Olivier & Serrano, Roberto, 2017. "A normalized value for information purchases," Journal of Economic Theory, Elsevier, vol. 170(C), pages 266-288.
  62. Usategui, José M., 2017. "Riskiness in binary gambles: A geometric analysis," Economics Letters, Elsevier, vol. 159(C), pages 149-152.
  63. Gagnon, Marie-Hélène & Power, Gabriel J. & Toupin, Dominique, 2023. "The sum of all fears: Forecasting international returns using option-implied risk measures," Journal of Banking & Finance, Elsevier, vol. 146(C).
  64. Balbás, Beatriz & Balbás, Raquel, 2016. "VaR as the CVaR sensitivity : applications in risk optimization," IC3JM - Estudios = Working Papers id-16-01, Instituto Mixto Carlos III - Juan March de Ciencias Sociales (IC3JM).
  65. Cui, Zhenyu & Wu, Cai & Zhu, Lingjiong, 2023. "Explicit solution to the economic index of riskiness," Economics Letters, Elsevier, vol. 232(C).
  66. Schuhmacher, Frank & Auer, Benjamin R., 2014. "Sufficient conditions under which SSD- and MR-efficient sets are identical," European Journal of Operational Research, Elsevier, vol. 239(3), pages 756-763.
  67. Xiaosheng Mu & Luciano Pomatto & Philipp Strack & Omer Tamuz, 2021. "From Blackwell Dominance in Large Samples to Rényi Divergences and Back Again," Econometrica, Econometric Society, vol. 89(1), pages 475-506, January.
  68. Manuel Arellano & Lars Peter Hansen & Enrique Sentana, 2009. "Underidentification? (Resumen)," Working Papers wp2009_0905, CEMFI.
  69. Zhukovskaya, Lidia & Zhukovskiy, Vladislav & Mukhina, Julia, 2023. "A New Approach To Guaranteed Solutions Of Multicriteria Choice Problems: Pareto Consideration Of Savage–Niehans Risk And Outcomes," MPRA Paper 119394, University Library of Munich, Germany.
  70. Steven Kou & Xianhua Peng, 2014. "On the Measurement of Economic Tail Risk," Papers 1401.4787, arXiv.org, revised Aug 2015.
  71. Amnon Schreiber, 2014. "Economic indices of absolute and relative riskiness," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 56(2), pages 309-331, June.
  72. Tomer Siedner, 2015. "Risk of Monetary Gambles: An Axiomatic Approach," Discussion Paper Series dp682, The Federmann Center for the Study of Rationality, the Hebrew University, Jerusalem.
  73. Eurilton Araújo & Ricardo D. Brito & Antonio Z. Sanvicente, 2021. "Long‐term stock returns in Brazil: Volatile equity returns for U.S.‐like investors," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 6249-6263, October.
  74. Christian Gollier & James Hammitt & Nicolas Treich, 2013. "Risk and choice: A research saga," Journal of Risk and Uncertainty, Springer, vol. 47(2), pages 129-145, October.
  75. Rachel J. Huang & Larry Y. Tzeng & Lin Zhao, 2020. "Fractional Degree Stochastic Dominance," Management Science, INFORMS, vol. 66(10), pages 4630-4647, October.
  76. Cossette, Hélène & Marceau, Etienne & Trufin, Julien & Zuyderhoff, Pierre, 2020. "Ruin-based risk measures in discrete-time risk models," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 246-261.
  77. Hodoshima, Jiro, 2021. "The computational property of the Aumann–Serrano performance index under risk-averse and risk-loving preference," Finance Research Letters, Elsevier, vol. 39(C).
  78. Chen, Yi-Ting & Ho, Keng-Yu & Tzeng, Larry Y., 2014. "Riskiness-minimizing spot-futures hedge ratio," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 154-164.
  79. Kadan, Ohad & Liu, Fang, 2014. "Performance evaluation with high moments and disaster risk," Journal of Financial Economics, Elsevier, vol. 113(1), pages 131-155.
  80. Zhang, Yu & Wang, Yu & Tang, Jiafu & Lim, Andrew, 2020. "Mitigating overtime risk in tactical surgical scheduling," Omega, Elsevier, vol. 93(C).
  81. Serrano, Roberto & Vohra, Rajiv, 2010. "Multiplicity of mixed equilibria in mechanisms: A unified approach to exact and approximate implementation," Journal of Mathematical Economics, Elsevier, vol. 46(5), pages 775-785, September.
  82. Schnytzer, Adi & Westreich, Sara, 2013. "A global index of riskiness," Economics Letters, Elsevier, vol. 118(3), pages 493-496.
  83. Doron Nisani & Amit Shelef, 2021. "A statistical analysis of investor preferences for portfolio selection," Empirical Economics, Springer, vol. 61(4), pages 1883-1915, October.
  84. Yang, Jen-Wei, 2024. "Benchmark-based strategy for minimizing Riskiness," Finance Research Letters, Elsevier, vol. 60(C).
  85. Zheng Cui & Jianpeng Ding & Daniel Zhuoyu Long & Lianmin Zhang, 2023. "Target‐based resource pooling problem," Production and Operations Management, Production and Operations Management Society, vol. 32(4), pages 1187-1204, April.
  86. Moti Michaeli, 2014. "Riskiness for sets of gambles," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 56(3), pages 515-547, August.
  87. David B. Brown & Enrico De Giorgi & Melvyn Sim, 2012. "Aspirational Preferences and Their Representation by Risk Measures," Management Science, INFORMS, vol. 58(11), pages 2095-2113, November.
  88. Maier, Johannes & Rüger, Maximilian, 2010. "Measuring Risk Aversion Model-Independently," Discussion Papers in Economics 11873, University of Munich, Department of Economics.
  89. Yao, Haixiang & Huang, Jinbo & Li, Yong & Humphrey, Jacquelyn E., 2021. "A general approach to smooth and convex portfolio optimization using lower partial moments," Journal of Banking & Finance, Elsevier, vol. 129(C).
  90. Alejandro Balbás & Iván Blanco & José Garrido, 2014. "Measuring Risk When Expected Losses Are Unbounded," Risks, MDPI, vol. 2(4), pages 1-14, September.
  91. Liebrich, Felix-Benedikt & Svindland, Gregor, 2017. "Model spaces for risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 77(C), pages 150-165.
  92. Hellman, Ziv & Schreiber, Amnon, 2018. "Indexing gamble desirability by extending proportional stochastic dominance," Games and Economic Behavior, Elsevier, vol. 109(C), pages 523-543.
  93. Michał Lewandowski, 2013. "Risk Attitudes, Buying and Selling Price for a Lottery and Simple Strategies," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 5(1), pages 1-34, March.
  94. Bi, Hongwei & Huang, Rachel J. & Tzeng, Larry Y. & Zhu, Wei, 2019. "Higher-order Omega: A performance index with a decision-theoretic foundation," Journal of Banking & Finance, Elsevier, vol. 100(C), pages 43-57.
  95. repec:cte:idrepe:id-13-01 is not listed on IDEAS
  96. Turan G. Bali & Nusret Cakici & Fousseni Chabi-Yo, 2011. "A Generalized Measure of Riskiness," Management Science, INFORMS, vol. 57(8), pages 1406-1423, August.
  97. Chamorro Elosua, Arritokieta & Usategui Díaz de Otalora, José María, 2013. "A Note on Risk Acceptance, Bankruptcy Avoidance and Riskiness Measures," DFAEII Working Papers 1988-088X, University of the Basque Country - Department of Foundations of Economic Analysis II.
  98. Francisco Alvarez, 2018. "Decomposing risk in an exploitation–exploration problem with endogenous termination time," Annals of Operations Research, Springer, vol. 261(1), pages 45-77, February.
  99. Minqiang Li, 2014. "Aumann and Serrano's economic index of risk for sums of gambles," Cogent Economics & Finance, Taylor & Francis Journals, vol. 2(1), pages 1-5, December.
  100. Bakkensen, Laura A. & Ma, Lala & Muehlenbachs, Lucija & Benitez, Lina, 2024. "Cumulative impacts in environmental justice: Insights from economics and policy," Regional Science and Urban Economics, Elsevier, vol. 107(C).
  101. Zongxia Liang & Jianming Xia & Keyu Zhang, 2023. "Equilibrium stochastic control with implicitly defined objective functions," Papers 2312.15173, arXiv.org, revised Dec 2023.
  102. Irina Georgescu & Jani Kinnunen, 2013. "A risk approach by credibility theory," Fuzzy Information and Engineering, Springer, vol. 5(4), pages 399-416, December.
  103. Moti Michaeli, 2021. "On Measuring Welfare ‘Behind a Veil of Ignorance’," Social Choice and Welfare, Springer;The Society for Social Choice and Welfare, vol. 56(1), pages 57-66, January.
  104. Roger J. A. Laeven & Emanuela Rosazza Gianin & Marco Zullino, 2024. "Geometric BSDEs," Papers 2405.09260, arXiv.org, revised Jul 2024.
  105. Bali, Turan G. & Cakici, Nusret & Chabi-Yo, Fousseni, 2015. "A new approach to measuring riskiness in the equity market: Implications for the risk premium," Journal of Banking & Finance, Elsevier, vol. 57(C), pages 101-117.
  106. Tiantian Li & Young Shin Kim & Qi Fan & Fumin Zhu, 2021. "Aumann–Serrano index of risk in portfolio optimization," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 94(2), pages 197-217, October.
  107. Minglong Zhou & Melvyn Sim & Shao‐Wei Lam, 2022. "Advance admission scheduling via resource satisficing," Production and Operations Management, Production and Operations Management Society, vol. 31(11), pages 4002-4020, November.
  108. Narayan, Paresh Kumar & Narayan, Seema & Phan, Dinh Hoang Bach, 2022. "Terrorism and international stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 76(C).
  109. Hodoshima, Jiro & Yamawake, Toshiyuki, 2022. "Temporal aggregation of the Aumann–Serrano and Foster–Hart performance indexes," International Review of Financial Analysis, Elsevier, vol. 83(C).
  110. Jiro Hodoshima & Toshiyuki Yamawake, 2020. "The Aumann–Serrano Performance Index for Multi-Period Gambles in Stock Data," JRFM, MDPI, vol. 13(11), pages 1-18, November.
  111. Klaas Schulze, 2015. "General dual measures of riskiness," Theory and Decision, Springer, vol. 78(2), pages 289-304, February.
  112. Hu, Debao & Li, Xin & Xiang, George & Zhou, Qiyao, 2023. "Asset pricing models in the presence of higher moments: Theory and evidence from the U.S. and China stock market," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).
  113. Phan, Dinh Hoang Bach & Narayan, Paresh Kumar & Gong, Qiang, 2021. "Terrorist attacks and oil prices: Hypothesis and empirical evidence," International Review of Financial Analysis, Elsevier, vol. 74(C).
  114. Vincent Tsz Fai Chow & Zheng Cui & Daniel Zhuoyu Long, 2022. "Target-Oriented Distributionally Robust Optimization and Its Applications to Surgery Allocation," INFORMS Journal on Computing, INFORMS, vol. 34(4), pages 2058-2072, July.
  115. Yoshio Miyahara, 2020. "Inner Rate of Risk Aversion (IRRA) and Its Applications to Investment Selection," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 27(2), pages 193-212, June.
  116. Adi Schnytzer & Sara Westreich, 2011. "Attitudes to Risk and Roulette," Working Papers 2011-06, Bar-Ilan University, Department of Economics.
  117. Haim Shalit, 2014. "Measuring Risk In Israeli Mutual Funds: Conditional Value-At-Risk Vs. Aumann-Serrano Riskiness Index," Working Papers 1409, Ben-Gurion University of the Negev, Department of Economics.
  118. Schulze, Klaas, 2014. "Existence and computation of the Aumann–Serrano index of riskiness and its extension," Journal of Mathematical Economics, Elsevier, vol. 50(C), pages 219-224.
  119. Liqun Liu & Jack Meyer, 2017. "The Increasing Convex Order and the Trade–off of Size for Risk," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(3), pages 881-897, September.
  120. Yuval Heller & Amnon Schreiber, 2020. "Short-Term Investments and Indices of Risk," Papers 2005.06576, arXiv.org.
  121. A. Mantovi, 2013. "Mapping completely proper rationality," Economics Department Working Papers 2013-EP01, Department of Economics, Parma University (Italy).
  122. Chronopoulos, Dimitris K. & Papadimitriou, Fotios I. & Vlastakis, Nikolaos, 2018. "Information demand and stock return predictability," Journal of International Money and Finance, Elsevier, vol. 80(C), pages 59-74.
  123. Grubbström, Robert W., 2019. "The dependence of the incremental risk rate of interest on absolute risk aversion - Applying the Laplace transform to risk preference evaluation," International Journal of Production Economics, Elsevier, vol. 212(C), pages 51-59.
  124. Jiro Hodoshima & Toshiyuki Yamawake, 2021. "Sensitivity of Performance Indexes to Disaster Risk," Risks, MDPI, vol. 9(2), pages 1-22, February.
  125. Leiss, Matthias & Nax, Heinrich H., 2018. "Option-implied objective measures of market risk," Journal of Banking & Finance, Elsevier, vol. 88(C), pages 241-249.
  126. Xu Guo & Xuejun Jiang & Wing-Keung Wong, 2017. "Stochastic Dominance and Omega Ratio: Measures to Examine Market Efficiency, Arbitrage Opportunity, and Anomaly," Economies, MDPI, vol. 5(4), pages 1-16, October.
  127. James Ming Chen, 2018. "On Exactitude in Financial Regulation: Value-at-Risk, Expected Shortfall, and Expectiles," Risks, MDPI, vol. 6(2), pages 1-28, June.
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  130. Amnon Schreiber, 2012. "An Economic Index of Relative Riskiness," Discussion Paper Series dp597, The Federmann Center for the Study of Rationality, the Hebrew University, Jerusalem.
  131. Homm, Ulrich & Pigorsch, Christian, 2012. "Beyond the Sharpe ratio: An application of the Aumann–Serrano index to performance measurement," Journal of Banking & Finance, Elsevier, vol. 36(8), pages 2274-2284.
  132. Balbás, Beatriz & Balbás, Raquel, 2016. "Must an optimal buy and hold strategy contain any derivative?," IC3JM - Estudios = Working Papers 23912, Instituto Mixto Carlos III - Juan March de Ciencias Sociales (IC3JM).
  133. Hodoshima, Jiro & Miyahara, Yoshio, 2020. "Utility indifference pricing and the Aumann–Serrano performance index," Journal of Mathematical Economics, Elsevier, vol. 86(C), pages 83-89.
  134. Chia-Chi Lu & Carl Hsin-han Shen & Pai-Ta Shih & Wei‐Che Tsai, 2023. "Option implied riskiness and risk-taking incentives of executive compensation," Review of Quantitative Finance and Accounting, Springer, vol. 60(3), pages 1143-1160, April.
  135. Laurentiu Droj & Elena - Ana Iancu (Nechita) & Ioana Florina Popovici - Coita, 2016. "Premises Of Behavioral Finance In Rational Decision-Making," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(1), pages 671-681, July.
  136. Bosch-Badia, Maria Teresa & Montllor-Serrats, Joan & Tarrazon-Rodon, Maria-Antonia, 2014. "Unveiling the embedded coherence in divergent performance rankings," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 154-165.
  137. Lu, Richard & Horng, Tzyy-Leng & Horng, Min-Sun & Wang, Amy Z.-H., 2023. "A performance evaluation of portfolio insurance under the Black and Scholes framework: An application of the economic index of riskiness," The Quarterly Review of Economics and Finance, Elsevier, vol. 89(C), pages 269-276.
  138. Michael C. Nwogugu, 2020. "Decision-Making, Sub-Additive Recursive "Matching" Noise And Biases In Risk-Weighted Stock/Bond Index Calculation Methods In Incomplete Markets With Partially Observable Multi-Attribute Pref," Papers 2005.01708, arXiv.org.
  139. Samuel Drapeau & Michael Kupper, 2013. "Risk Preferences and Their Robust Representation," Mathematics of Operations Research, INFORMS, vol. 38(1), pages 28-62, February.
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