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References
See Webster’s Encyclopedic unabridged dictionary, Gramercy Books, New York, 1989.
Frank Knight, Risk, Uncertainty and Profit, Boston and New York, Houghton Mifflin Company, 1921.
E. Domar and R.A. Musgrave, “Proportional income taxation and risk taking,” Quarterly Journal of Economics, LVII, May, 1944.
See A.D. Roy, “Safety First and the Holding of Assets” Econometrica, July, 1952.
Markowitz, H.M., “Portfolio Selection,” Journal of Finance, 7(1952), 77–91.
Sharpe, William F., “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk,” Journal of Finance, September 1964, pp. 428–442.
Lintner, J., “Security Prices, Risk and Maximal Gains from Diversification,” Journal of Finance, 20(1965), 587–616.
The semi-variance has been suggested by Markowitz, see H.M. Markowitz, Portfolio Selection, New York, Wiley, 1959.
See W.J. Baumol, “An Expected Gain in Confidence Limit Criterion for Portfolio Selection,” Management Science, October 1963, 10, pp. 174–182.
For an excellent discussion and analyses of VaR and other risk measures, see Philippe Jorion, Value at Risk, McGraw-Hill, New York 1997.
See Leonard Savage, “The Theory of Statistical Decision,” Journal of American Statistical Association, 46, 1951, 55–67.
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(2006). On the Measurement of Risk. In: Stochastic Dominance. Studies in Risk and Uncertainty, vol 12. Springer, Boston, MA . https://doi.org/10.1007/0-387-29311-6_1
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