Multivariate risk aversion with applications |
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| Affiliation: | Department of Economics University of California, Santa Barbara Santa Barbara, Calfornia 93106, USA |
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| Abstract: | ![]()
Two measures of multivariate risk aversion, closely related t ocertain eigenvalue problems are proposed here. These measures are shown t obe ralated to multivariate distance concepts in statistics and its applications include risk analysis in portfolio theory, vector efficiently and compparison of minimax strategies in applied modelling. |
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