Extended Gini-type measures of risk and variability

The main of this paper is to introduce a family of risk measures which generalizes the Gini-type measures of risk and variability, by taking into consideration the psychological behavior. Our risk measures family is coherent and catches variability with respect to the decision-maker attitude towards risk.

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Year of publication:	2017-07-22
Authors:	Berkhouch, Mohammed ; Lakhnati, Ghizlane

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Berkhouch, Mohammed and Lakhnati, Ghizlane (2017): Extended Gini-type measures of risk and variability.
Classification:	C6 - Mathematical Methods and Programming ; G10 - General Financial Markets. General
Source:	BASE

Persistent link: https://www.econbiz.de/10015256785