Warianty tytułu
Relations of Measures of Risk Aversion with the Functions Depended on the Parameters of the Probability Distribution
Języki publikacji
Abstrakty
Celem analizy decyzji jest uporządkowanie zbioru możliwych decyzji, otrzymywane poprzez porównywanie poszczególnych decyzji względem pewnej relacji preferencji. Zatem w zbiorze losowych wariantów definiowana jest relacja dwuargumentowa, której własności oraz funkcyjna reprezentacja jest podstawą uporządkowania jego elementów, jak i wyodrębnienia podzbiorów wariantów o takim samym ryzyku (indyferentnych).(fragment tekstu)
The expected utility model (EU) and the mean-variance model (M-V) are the most common approaches to analyzing choices under uncertainty. These two models produce the preference relations which are only consistent under additional restrictions. Although the mean-variance preferences has been important in financial economics, such a concept of risk is not consistent with others. However, the decision makers select alternatives by comparing their risk, and various risk measures are employed. The main aim of the paper is to compare various concepts of measure of risk aversion and present some conditions providing consistency in the two approaches.(original abstract)
Rocznik
Strony
253--266
Opis fizyczny
Twórcy
autor
- Uniwersytet Ekonomiczny w Katowicach
Bibliografia
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Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171273923