Abstract
We introduce a measure for riskiness which is able, at the same time, to let the investor accepting/rejecting gambles in a way as objective as possible (i.e. depending only on the probabilistic features of the gamble), and to take his own risk posture into account, that is by considering the risk attitude expressed by his utility function. We will briefly recall and discuss some theoretical properties, and we will give proof of our results by ranking 30 largest-growth mutual funds; finally, we will compare the results with those of other indexes.
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Marina, M.E., Resta, M. (2014). Investment Rankings via an Objective Measure of Riskiness: A Case Study. In: Corazza, M., Pizzi, C. (eds) Mathematical and Statistical Methods for Actuarial Sciences and Finance. Springer, Cham. https://doi.org/10.1007/978-3-319-02499-8_18
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DOI: https://doi.org/10.1007/978-3-319-02499-8_18
Publisher Name: Springer, Cham
Print ISBN: 978-3-319-02498-1
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