منابع مشابه
Certainty equivalent measures of risk
We study a framework for constructing coherent and convex measures of risk that is inspired by infimal convolution operator, and which is shown to constitute a new general representation of these classes of risk functions. We then discuss how this scheme may be effectively applied to obtain a class of certainty equivalent measures of risk that can directly incorporate preferences of a rational ...
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In portfolio selection, strategies on an efficient frontier have been regarded as nondominated solutions because of the compensation to each increase unit of risk, and a rational decision maker has to consider other supplementary decision rules. This paper proposes an approach that helps a rational decision maker identify the best candidate strategy on an efficient frontier by taking the concep...
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This paper attempts to determine the certainty equivalent of an uncertain future cash flow or value through the option pricing method, and builds models of certainty equivalent and certainty equivalent coefficient. Based on the model of certainty equivalent coefficient, this paper further derives models of risk premium and risk-adjusted discount rate. The latter is a new capital asset pricing m...
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In a recent paper, Newell and Pizer (2003) (N&P) build upon Weitzman (1998, 2001) and show how uncertainty about future interest rates leads to ‘certainty equivalent’ forward rates (CER) that decline with the time horizon. Such Declining Discount Rates (DDR’s) have important implications for the economic appraisal of the long-term policy arena (e.g. climate change) and inter-generational equity...
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ژورنال
عنوان ژورنال: International Journal of Theoretical and Applied Finance
سال: 2011
ISSN: 0219-0249,1793-6322
DOI: 10.1142/s0219024911006255