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Extended Gini-type measures of risk and variability

Author

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  • Berkhouch, Mohammed
  • Lakhnati, Ghizlane

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.

Suggested Citation

  • Berkhouch, Mohammed & Lakhnati, Ghizlane, 2017. "Extended Gini-type measures of risk and variability," MPRA Paper 80329, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:80329
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    References listed on IDEAS

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    Cited by:

    1. Marcelo Brutti Righi, 2019. "A composition between risk and deviation measures," Annals of Operations Research, Springer, vol. 282(1), pages 299-313, November.

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    More about this item

    Keywords

    risk measure; variability measure; risk aversion; signed Choquet integral; Extended Gini Shortfall;
    All these keywords.

    JEL classification:

    • C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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