Risk measures from risk-reducing experiments

DOI10.1287/DECA.1120.0232MaRDI QIDQ4691957zbMATH OpenOpenAlexFDO

Authors Philippe Delquié

Publication date 24 October 2018

Published in Decision Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/deca.1120.0232

zbMATH Keywords

Gini's mean differencerisk measuresstochastic orderingsvalue of information

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Decision theory (91B06)

Recommendations

• Some extensions of Luce's measures of risk
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Cites work

• Coherent measures of risk
• Convex measures of risk and trading constraints
• From stochastic dominance to mean-risk models: Semideviations as risk measures
• scientific article; zbMATH DE number 4007433 (Why is no real title available?)
• Mean-risk analysis of risk aversion and wealth effects on optimal portfolios with multiple investment opportunities
• Mean-risk analysis with enhanced behavioral content
• On an Extension of the Gini Inequality Index
• Some Aspects of the Distributional Properties of the Expected Value of Perfect Information (EVPI)

Cited in

(1)

• Optimal Off-line Experimentation for Games

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