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Endogenous Risk Measures
2011
Advances in Pure Mathematics
We present a methodology that allows endogenous derivation of the moments of the probability distributions. In doing so, we, present an alternative objective function and alternative concept of risk aversion. In addition, we show that the risk measure depends on the preferences. Moreover, we show that a higher level of risk aversion yields higher values of the risk measure.
doi:10.4236/apm.2011.12007
fatcat:fxcezktpyremhgojzo7dpdkt64