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Ross' measure of risk aversion and portfolio selection
Ross' measure of risk aversion and portfolio selection
- Source :
- Journal of Risk and Uncertainty. 3
- Publication Year :
- 1990
- Publisher :
- Springer Science and Business Media LLC, 1990.
-
Abstract
- This article shows that if Ross' definition of riskier is replaced by a more traditional definition, such as a mean-preserving spread or second-degree stochastic dominance, then the application of Ross's stronger measure of risk aversion to the portfolio problem may no longer produce the desired result. It is also shown that the stronger measure may not perform satisfactorily when applied to exponential utility functions.
Details
- ISSN :
- 15730476 and 08955646
- Volume :
- 3
- Database :
- OpenAIRE
- Journal :
- Journal of Risk and Uncertainty
- Accession number :
- edsair.doi...........e12763d76a2bc7cd92a5342b4946834e
- Full Text :
- https://doi.org/10.1007/bf00213263