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Risk pricing in a non-expected utility framework

Gebhard Geiger

European Journal of Operational Research, 2015, vol. 246, issue 3, pages 944-948

Abstract: 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.

Keywords: Risk analysis; Risk pricing; Certainty equivalent; Utility theory; Non-expected utility (search for similar items in EconPapers)
Date: 2015
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Persistent link: http://EconPapers.repec.org/RePEc:eee:ejores:v:246:y:2015:i:3:p:944-948

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European Journal of Operational Research is currently edited by Roman Slowinski, Jesus Artalejo, Jean-Charles. Billaut, Robert Dyson and Lorenzo Peccati

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