How to measure risk

Pflug GC (1999). How to measure risk. In: Modelling and Decisions in Economics: Essays in Honor of Franz Ferschl. Eds. Leopold-Wildburger, U., Feichtinger, G. & Kistner, K.-P., pp. 39-59 Heidelberg: Physica-Verlag. ISBN 978-3-662-12519-9 DOI:10.1007/978-3-662-12519-9_3.

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Abstract

In financial optimization, the future distribution of wealth is projected by methods of statistical estimation and simulation. For making decisions, different wealth distributions have to be compared and the optimal has to be chosen. In this paper we discuss methods of assigning measures for risk (which are to be minimized) and measures for safety (which are to be maximized) to wealth distributions. Some properties of the presented measures are shown.

Item Type: Book Section
Research Programs: Risk, Modeling, Policy (RMP)
Bibliographic Reference: In: U. Leopold-Wildburger, G. Feichtinger, K.-P. Kistner (eds); Modelling and Decisions in Economics: Essays in Honor of Franz Ferschl; Physica-Verlag, Heidelberg, Germany, pp. 39-59 [1999]
Depositing User: IIASA Import
Date Deposited: 15 Jan 2016 02:10
Last Modified: 20 Dec 2016 15:00
URI: http://pure.iiasa.ac.at/5751

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