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Ross' measure of risk aversion and portfolio selection

Ross' measure of risk aversion and portfolio selection

Authors :
Tae Kun Seo
Josef Hadar
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