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on Risk Management |
| By: | Werner Jammernegg (Vienna University of Economics and Business Administration, Department of Information Systems and Operations); Peter Kischka (University of Jena, Faculty of Economics) |
| Abstract: | We introduce a decision rule where the risk dimension is measured by the conditional value of risk. We characterize the risk attitudes implied by the decision rule in a way similar to the well known mean variance framework. We show that the rule is consistent with Yaaris dual theory for all risk attitudes. Finally a reformulation of the decision rule is presented which is based on two conditional expected values. |
| Date: | 2005–09–08 |
| URL: | http://d.repec.org/n?u=RePEc:jen:jenasw:2005-09&r=rmg |
| By: | Guglielmo Maria Caporale; Luis A. Gil-Alana |
| Abstract: | In this paper we show that the monthly structure of the US money stock can be specified in terms of a long-memory process, with roots at both the zero and the seasonal monthly frequencies. We use a procedure that enables us to test simultaneously for the roots at all these frequencies. The results show that the root at the long-run or zero frequency plays a much more important role than the seasonal one, though the latter should also be taken into account. |
| Date: | 2005–09 |
| URL: | http://d.repec.org/n?u=RePEc:bru:bruedp:05-16&r=rmg |