Risk pricing in a non-expected utility framework

被引：0

作者：

Geiger, Gebhard ^{[1
]}

机构：

[1] Tech Univ Munich, Fac Econ, Inst Financial Management & Capital Markets, D-80333 Munich, Germany

来源：

EUROPEAN JOURNAL OF OPERATIONAL RESEARCH | 2015年 / 246卷 / 03期

关键词：

Risk analysis; Risk pricing; Certainty equivalent; Utility theory; Non-expected utility; CUMULATIVE PROSPECT-THEORY; CHOICE; PREFERENCES;

D O I：

10.1016/j.ejor.2015.04.032

中图分类号：

C93 [管理学];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ;

摘要：

Risk prices are calculated as the certainty equivalents of risky assets, using a recently developed non-expected utility (non-EU) approach to quantitative risk assessment. The present formalism for the pricing of risk is computationally simple, realistic in the sense of behavioural economics and straightforward to apply in Operational-research and-risk and-decision-analyses. (C) 2015 Elsevier B.V. and Association of European Operational Research Societies (EURO) within the International Federation of Operational Research Societies (IFORS). All rights reserved.

引用

页码：944 / 948

页数：5

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