On the decomposition and characterization of risk

M. Khan and Yeneng Sun ()

No 1997038, LIDAM Discussion Papers CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Abstract: We show that the main theorem in Al-Najjar’s 1995 Econometrica paper is false. We provide additional references for the residual implications that are valid, but point out that these stan- dard implications are incapable of bearing the interpretative weight that Al-Najjar places on them.

JEL-codes: C60 D80 (search for similar items in EconPapers)
Date: 1997-05-01
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:cor:louvco:1997038

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