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Bid and Ask Prices Tailored to Traders' Risk Aversion and Gain Propension: a Normative Approach
Marta Cardin, Bennett Eisenberg, Luisa Tibiletti
Pages - 294 - 306     |    Revised - 15-11-2012     |    Published - 31-12-2012
Volume - 3   Issue - 6    |    Publication Date - December 2012  Table of Contents
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KEYWORDS
Extended Gini Index, Bid and Ask prices, Pessimism and Optimism indices
ABSTRACT
Risky asset bid and ask prices “tailored” to the risk-aversion and the gain-propension of the traders are set up. They are calculated through the principle of the Extended Gini premium, a standard method used in non-life insurance. Explicit formulae for the most common stochastic distributions of risky returns, are calculated. Sufficient and necessary conditions for successful trading are also discussed.
CITED BY (1)  
1 Cardin, M., Eisenberg, B., & Tibiletti, L. (2013). Bid pricing in online auctions with “Buy-it-Now” option. Applied Mathematical Sciences, 7(50), 2489-2500.
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Dr. Marta Cardin
Department of Economics University Cà Foscari of Venice - Italy
Dr. Bennett Eisenberg
Department of Mathematics University Bethlehem - United States of America
Dr. Luisa Tibiletti
Department of Management University of Torino - Italy
luisa.tibiletti@unito.it