کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5091619 1375693 2006 21 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
A value-of-information approach to measuring risk in multi-period economic activity
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
A value-of-information approach to measuring risk in multi-period economic activity
چکیده انگلیسی
In this paper, we discuss measures of risk for uncertain outcomes of economic activity, which are based on the notion of the value of full information in stochastic programs. Information is measured in terms of σ-algebras. For multi-period income streams information is represented by filtrations, i.e. sequences of σ-algebras. The basic properties of our risk measures are multi-period coherence (“diversification decreases risk”), compound concavity (“random alternatives increase risk”) and convex monotonicity (“insurance decreases risk”).
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 30, Issue 2, February 2006, Pages 695-715
نویسندگان
,