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Extended Gini-type measures of risk and variability

Berkhouch, Mohammed and Lakhnati, Ghizlane (2017): Extended Gini-type measures of risk and variability.

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Abstract

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.

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