On Choquet Integral Risk Measures

被引：0

作者：

Nguyen, Hung T. ^{[1
,2
]}

Sriboonchitta, Songsak ^{[2
]}

机构：

[1] New Mexico State Univ, Dept Math Sci, Las Cruces, NM 88003 USA

[2] Chiang Mai Univ, Fac Econ, Chiang Mai 50200, Thailand

来源：

INTEGRATED UNCERTAINTY MANAGEMENT AND APPLICATIONS | 2010年 / 68卷

关键词：

D O I：

暂无

中图分类号：

TP18 [人工智能理论];

学科分类号：

081104 ; 0812 ; 0835 ; 1405 ;

摘要：

This paper aims at presenting the state-of-the-art of Choquet integral in quantifying the uncertainty in financial economics. Not only Choquet integral becomes a suitable model for defining financial coherent risk measures in the investment context, it seems also possible to use Choquet integral calculations as a means for asset pricing. We address also utility aspect of Choquet integral risk measures.

引用

页码：15 / +

页数：3

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