Paper Info
Title
Multidimensional risk aversion with mixed parameters
Abstract
In this paper we propose an approach of risk aversion for the situations with many risk parameters. Some of the parameters are described probabilistically, and others possibilistically. We introduce mixed risk premium vector, a notion, which combines probabilistic and possibilistic aspects of risk aversion. The main result of the paper is a formula for the calculation of the mixed risk premium vector. Our model can be applied for the evaluation of risk aversion in grid computing.
Year
DOI
Venue
2011
10.1109/SACI.2011.5872974
Applied Computational Intelligence and Informatics
Keywords
Field
DocType
possibility theory,probability,risk management,vectors,mixed risk premium vector,multidimensional risk aversion,possibilistic aspect,probabilistic aspect
Econometrics,Spectral risk measure,Computer science,Risk premium,Time consistency,Possibility theory,Risk management,Risk aversion,Probabilistic logic,Ambiguity aversion
Conference
ISBN
Citations 
PageRank 
978-1-4244-9108-7
2
0.91
References 
Authors
6
2
Name
Order
Citations
PageRank
Irina Georgescu17915.48
Jani Kinnunen2144.20