Risk pricing in a non-expected utility framework
European Journal of Operational Research, 2015, vol. 246, issue 3, 944-948
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)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:246:y:2015:i:3:p:944-948
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