DocumentCode
1830123
Title
An objective measure of risk
Author
Hong, Jiang ; Zhai, Jian
Author_Institution
Dept. of Math., Zhejiang Univ., Hangzhou, China
fYear
2010
fDate
7-10 Dec. 2010
Firstpage
1836
Lastpage
1839
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;
fLanguage
English
Publisher
ieee
Conference_Titel
Industrial Engineering and Engineering Management (IEEM), 2010 IEEE International Conference on
Conference_Location
Macao
ISSN
2157-3611
Print_ISBN
978-1-4244-8501-7
Electronic_ISBN
2157-3611
Type
conf
DOI
10.1109/IEEM.2010.5674546
Filename
5674546
Link To Document