Browsing College of Business and Law by Subject "Power utility"

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Browsing College of Business and Law by Subject "Power utility"

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  • Dowd, Kevin ; Cotter, John ; Sorwar, Ghulam (University College Dublin. School of Business. Centre for Financial MarketsUniversity College Dublin. School of Business, 2008-04-18)
    Spectral risk measures (SRMs) are risk measures that take account of user risk aversion, but to date there has been little guidance on the choice of utility function underlying them. This paper addresses this issue by ...

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