Generalized Multiplicative Risk Apportionment
This work examines apportionment of multiplicative risks by considering three dominance orderings: first-degree stochastic dominance, Rothschild and Stiglitz’s increase in risk and downside risk increase. We use the relative <i>n</i>th-degree risk aversion measure and decreasin...
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| Format: | Article |
| Language: | English |
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MDPI AG
2019-06-01
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| Series: | Risks |
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| Online Access: | https://www.mdpi.com/2227-9091/7/2/65 |