Deviation, Risk, and Error Measures

Michael Zabarankin and Stan Uryasev
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Michael Zabarankin: Stevens Institute of Technology
Stan Uryasev: University of Florida

Chapter Chapter 2 in Statistical Decision Problems, 2014, pp 19-31 from Springer

Abstract: Abstract In statistical decision theory, uncertainty inherent in a random variable X is often translated into although related but not the same notions of error, deviation (dispersion), and risk revolving around the standard deviation σ(X).

Keywords: Risk Measure; Lower Semicontinuity; Deviation Measure; Portfolio Selection; Gini Index (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:spr:spochp:978-1-4614-8471-4_2

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DOI: 10.1007/978-1-4614-8471-4_2

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