Author's reply
Archivos
Fecha
2003-06
Título de la revista
ISSN de la revista
Título del volumen
Editor
Elsevier
Resumen
This issue of Omega contains a commentary by P.L. Brockett, W.W. Cooper, K.H. Kwon, and T.W. Ruefli on the review of Bowman's paradox by Nickel and Rodrı́guez, published in the February 2002 issue of Omega. In their commentary, the authors describe an article, published in the 1992 issue of Decision Sciences but not covered by the review, and claim that they had previously overcome three of the outstanding problems noted in Nickel and Rodrı́guez's review.
This reply to the commentary proves that the conclusions drawn in the review by Nickel and Rodrı́guez are relevant in spite of the Brockett et al. arguments against them. In this reply, we show that the paper by Brockett et al. neither explains Bowman's paradox nor resolves its underlying problems. First, the definitions of risk and return measures are mathematically linked, and second, a cross-sectional methodology is used. We also provide our opinion on what would be necessary to bear in mind in order to extend any conclusion from Bowman's paradox to beta's death and vice versa.
Descripción
Palabras clave
Risk and return measures, Kinds of risk, Risk adverse, Risk prone
Citación
Manuel Cano Rodrı́guez, Manuel Núñez Nickel, Author's reply, Omega, Volume 31, Issue 5, 2003, Pages 413-416, ISSN 0305-0483