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Inner Rate of Risk Aversion (IRRA) and Its Applications to Investment Selection

机译:风险厌恶(IrrA)的内在速率及其对投资选择的应用

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In this paper we introduce the inner rate of risk aversion (IRRA), which is based on the risk sensitive value measure. And we also introduce the ideas of the scale risk boundary (λ_(bdry)), the optimal scale (λ_(opt)) and the optimal value (V_(opt)). We first construct the rating table of assets based on the IRRA, and then tables of λ_(bdry)λ_(opt) and V_(opt), And finally we explain our strategy how to apply those tables to investment selection problems.
机译:在本文中,我们介绍了风险厌恶(IrrA)的内速,这是基于风险敏感值措施。我们还介绍了缩放风险边界的思想(λ_(bdry)),最佳刻度(λ_(opt))和最佳值(v_(opt))。我们首先根据IrrA构建资产的评级表,然后λ_(bdry)λ_(选择)和v_(选择)的表格,最后我们解释了我们如何将这些表应用于投资选择问题的策略。

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