Title :
An objective measure of risk
Author :
Hong, Jiang ; Zhai, Jian
Author_Institution :
Dept. of Math., Zhejiang Univ., Hangzhou, China
Abstract :
In this paper, we develop a risk measure based on the concepts of “duality”. The measure is defined on the domain of “gambles”: random variables g with some negative values. It is positively homogeneous, continuous, subadditive, and respects first- and second-order stochastic dominance. Our measure is objective and gives extra weight to losses.
Keywords :
duality (mathematics); financial management; random processes; risk management; stochastic processes; duality; first-order stochastic dominance; random variables; risk measure; second-order stochastic dominance; Atmospheric measurements; Compounds; Economics; Equations; Insurance; Loss measurement; Particle measurements; duality; risk aversion; risk measure;
Conference_Titel :
Industrial Engineering and Engineering Management (IEEM), 2010 IEEE International Conference on
Conference_Location :
Macao
Print_ISBN :
978-1-4244-8501-7
Electronic_ISBN :
2157-3611
DOI :
10.1109/IEEM.2010.5674546
