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.

Item Type: | MPRA Paper |
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Original Title: | Extended Gini-type measures of risk and variability |

Language: | English |

Keywords: | risk measure, variability measure, risk aversion, signed Choquet integral, Extended Gini Shortfall |

Subjects: | C - Mathematical and Quantitative Methods > C6 - Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling G - Financial Economics > G1 - General Financial Markets > G10 - General |

Item ID: | 80329 |

Depositing User: | Mohammed BERKHOUCH |

Date Deposited: | 26 Jul 2017 15:44 |

Last Modified: | 26 Sep 2019 14:03 |

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URI: | https://mpra.ub.uni-muenchen.de/id/eprint/80329 |