Article ID: | iaor2004155 |
Country: | Netherlands |
Volume: | 64 |
Issue: | 7 |
Start Page Number: | 1165 |
End Page Number: | 1176 |
Publication Date: | Jul 2003 |
Journal: | Automation and Remote Control |
Authors: | Noveselov A.A. |
The qualitative concept of the risk aversion is defined in terms of a preference relation on a set of probability distributions. Risk aversion is quantitatively expressed in terms of representing functionals (risk measure). The relationship between risk aversion and stochastic dominance is investigated. Formulas for computing risk aversion in a perturbed probability model are derived and numerical examples are given.