Extended Gini-type measures of risk and variability
Mohammed Berkhouch and
MPRA Paper from University Library of Munich, Germany
The main of this paper is to introduce a family of risk measures which generalizes the Gini-type measures of risk and variability, by taking into consideration the psychological behavior. Our risk measures family is coherent and catches variability with respect to the decision-maker attitude towards risk.
Keywords: risk measure; variability measure; risk aversion; signed Choquet integral; Extended Gini Shortfall (search for similar items in EconPapers)
JEL-codes: C6 G10 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:80329
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