Endogenous Risk Measures
Author(s)
Moawia Alghalith
ABSTRACT
We present a methodology that allows endogenous derivation of the moments of the probability distributions. In doing so, we, present an alternative objective function and alternative concept of risk aversion. In addition, we show that the risk measure depends on the preferences. Moreover, we show that a higher level of risk aversion yields higher values of the risk measure.
We present a methodology that allows endogenous derivation of the moments of the probability distributions. In doing so, we, present an alternative objective function and alternative concept of risk aversion. In addition, we show that the risk measure depends on the preferences. Moreover, we show that a higher level of risk aversion yields higher values of the risk measure.
Cite this paper
nullM. Alghalith, "Endogenous Risk Measures," Advances in Pure Mathematics, Vol. 1 No. 2, 2011, pp. 28-29. doi: 10.4236/apm.2011.12007.
nullM. Alghalith, "Endogenous Risk Measures," Advances in Pure Mathematics, Vol. 1 No. 2, 2011, pp. 28-29. doi: 10.4236/apm.2011.12007.
References
[1] M. Yaari, “The Dual Theory of Choice under Risk,” Econo-metrica, Vol. 55, No. 1, 1987, pp. 95-115. doi:10.2307/1911158 [2] A. Sandmo, “On the Theory of the Competitive Firm Under Price Uncertainty,” American Eco-nomic Review, Vol. 61, No. 1, 1971, pp. 65-73. [3] R. E. Bailey, “The Economics of Financial Markets,” Cambridge University Press, Cambridge, 2005. [4] R. Elliott and E. Kopp, “Mathematics of Financial Markets,” Springer, New York, 2005. [5] R. Elliott and T. Siu, “On Risk Minimizing Portfolios under a Markovian Regime-Switching Black-Scholes Economy,” Annals of Operations Research, forthcoming 2010. doi:10.1007/s10479-008-0448-5 [6] M. Alghalith, “New Economics of Risk and Uncertainty: Theory and Applications,” Nova Science Publishers Inc., New York, 2007. [7] B. J. Cohen, “Is Expected Utility Theory Normative for Medical Decision Making?” Medical Decision Making, Vol. 16, 1996, pp. 1-6. doi:10.1177/0272989X9601600101
[1] M. Yaari, “The Dual Theory of Choice under Risk,” Econo-metrica, Vol. 55, No. 1, 1987, pp. 95-115. doi:10.2307/1911158 [2] A. Sandmo, “On the Theory of the Competitive Firm Under Price Uncertainty,” American Eco-nomic Review, Vol. 61, No. 1, 1971, pp. 65-73. [3] R. E. Bailey, “The Economics of Financial Markets,” Cambridge University Press, Cambridge, 2005. [4] R. Elliott and E. Kopp, “Mathematics of Financial Markets,” Springer, New York, 2005. [5] R. Elliott and T. Siu, “On Risk Minimizing Portfolios under a Markovian Regime-Switching Black-Scholes Economy,” Annals of Operations Research, forthcoming 2010. doi:10.1007/s10479-008-0448-5 [6] M. Alghalith, “New Economics of Risk and Uncertainty: Theory and Applications,” Nova Science Publishers Inc., New York, 2007. [7] B. J. Cohen, “Is Expected Utility Theory Normative for Medical Decision Making?” Medical Decision Making, Vol. 16, 1996, pp. 1-6. doi:10.1177/0272989X9601600101