Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/147710 
Autor:innen: 
Erscheinungsjahr: 
2014
Quellenangabe: 
[Journal:] Cogent Economics & Finance [ISSN:] 2332-2039 [Volume:] 2 [Issue:] 1 [Publisher:] Taylor & Francis [Place:] Abingdon [Year:] 2014 [Pages:] 1-5
Verlag: 
Taylor & Francis, Abingdon
Zusammenfassung: 
We study Aumann and Serrano's (2008) risk index for sums of gambles that are not dependent. If the dependent parts are similarly ordered, then the risk index of the sum is always larger than the minimum of the risk indices of the two gambles. For negative dependence, the risk index of the sum is always smaller than the maximum. The above results agree with our intuitions of risk diversification well. These result points out another attractive property of Aumann and Serrano's risk index. These properties are potentially useful for risk assessment purposes of financial securities.
Schlagwörter: 
risk index
additive gambles
subadditivity
positive quadrant dependence
JEL: 
A10
C00
D81
Persistent Identifier der Erstveröffentlichung: 
Creative-Commons-Lizenz: 
cc-by Logo
Dokumentart: 
Article

Datei(en):
Datei
Größe





Publikationen in EconStor sind urheberrechtlich geschützt.