Risk Aversion: A Qualitative Approach and Quantitative Estimates

被引：0
|
作者：
A. A. Novoselov
机构：
[1] Institute of Computer-Aided Modeling,Siberian Division, Russian Academy of Sciences
来源：
Automation and Remote Control | 2003年 / 64卷
关键词：
Mechanical Engineer; Probability Distribution; System Theory; Probability Model; Risk Aversion;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
The qualitative concept of the risk aversion is defined in terms of a preference relation on a set of probability distributions. Risk aversion is quantitatively expressed in terms of representing functionals (risk measure). The relationship between risk aversion and stochastic dominance is investigated. Formulas for computing risk aversion in a perturbed probability model are derived and numerical examples are given.
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页码：1165 / 1176
页数：11
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