Univariate and multivariate measures of risk aversion and risk premiums with joint normal distribution and applications in portfolio selection models
This thesis gives the formal derivations of the so-called Rubinstein's measures of risk aversion and their multivariate generalizations. The applications of these measures in portfolio selection models are also presented. Assuming that a decision maker's preferences can be represented by...
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| Language: | English |
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University of British Columbia
2010
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| Online Access: | http://hdl.handle.net/2429/26110 |