Endogenous Risk Measures

• 作者: Moawia Alghalith
• 来源期刊: 理论数学进展(英文)
• 学科: 医学
• 关键词: RISK RISK Measures UNCERTAINTY
• 年，卷（期）: 2011,（2）
• 页码范围: 28-29
• 页数: 2页
• 分类号: R73

摘要

We present a methodology that allows endogenous derivation of the moments of the probability distributions. In doing so, we, present an alternative objective function and alternative concept of risk aversion. In addition, we show that the risk measure depends on the preferences. Moreover, we show that a higher level of risk aversion yields higher values of the risk measure.