Construction of probability metrics on classes of investors

C-Tier
Journal: Economics Letters
Year: 2009
Volume: 103
Issue: 1
Pages: 45-48

Authors (3)

Stoyanov, Stoyan V. (not in RePEc) Rachev, Svetlozar T. (not in RePEc) Fabozzi, Frank J. (Groupe EDHEC (École de Hautes ...)

Score contribution per author:

0.335 = (α=2.01 / 3 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:eee:ecolet:v:103:y:2009:i:1:p:45-48
Journal Field
General
Author Count
3
Added to Database
2026-01-25