Construction of probability metrics on classes of investors

Stoyan V. Stoyanov; Svetlozar T. Rachev; Frank J. Fabozzi

doi:10.1016/j.econlet.2009.01.021

Construction of probability metrics on classes of investors

Stoyan V. Stoyanov, Svetlozar T. Rachev, Frank J. Fabozzi

Mathematics and Statistics

Research output: Contribution to journal › Article › peer-review

2 Scopus citations

Abstract

We introduce functionals with metric properties defined on classes of investors allowing inference about relations between prospects. In this context, we introduce the class of investors with balanced views. Our approach is consistent with Cumulative Prospect Theory.

Original language	English
Pages (from-to)	45-48
Number of pages	4
Journal	Economics Letters
Volume	103
Issue number	1
DOIs	https://doi.org/10.1016/j.econlet.2009.01.021
State	Published - Apr 2009

Keywords

Cumulative prospect theory
Probability metrics

Access to Document

10.1016/j.econlet.2009.01.021

Cite this

@article{8f962221ee7c440d8028e39aad15fd89,

title = "Construction of probability metrics on classes of investors",

abstract = "We introduce functionals with metric properties defined on classes of investors allowing inference about relations between prospects. In this context, we introduce the class of investors with balanced views. Our approach is consistent with Cumulative Prospect Theory.",

keywords = "Cumulative prospect theory, Probability metrics",

author = "Stoyanov, {Stoyan V.} and Rachev, {Svetlozar T.} and Fabozzi, {Frank J.}",

year = "2009",

month = apr,

doi = "10.1016/j.econlet.2009.01.021",

language = "English",

volume = "103",

pages = "45--48",

journal = "Economics Letters",

issn = "0165-1765",

number = "1",

}

TY - JOUR

T1 - Construction of probability metrics on classes of investors

AU - Stoyanov, Stoyan V.

AU - Rachev, Svetlozar T.

AU - Fabozzi, Frank J.

PY - 2009/4

Y1 - 2009/4

N2 - We introduce functionals with metric properties defined on classes of investors allowing inference about relations between prospects. In this context, we introduce the class of investors with balanced views. Our approach is consistent with Cumulative Prospect Theory.

AB - We introduce functionals with metric properties defined on classes of investors allowing inference about relations between prospects. In this context, we introduce the class of investors with balanced views. Our approach is consistent with Cumulative Prospect Theory.

KW - Cumulative prospect theory

KW - Probability metrics

UR - http://www.scopus.com/inward/record.url?scp=61849142789&partnerID=8YFLogxK

U2 - 10.1016/j.econlet.2009.01.021

DO - 10.1016/j.econlet.2009.01.021

M3 - Article

AN - SCOPUS:61849142789

SN - 0165-1765

VL - 103

SP - 45

EP - 48

JO - Economics Letters

JF - Economics Letters

IS - 1

ER -

Construction of probability metrics on classes of investors

Abstract

Keywords

Access to Document

Other files and links

Fingerprint

Cite this