Riskiness - PowerPoint PPT Presentation

Decision Theory

Decision Theory. Lecture 13. Riskiness measures and gambling wealth Riskiness measures – the idea and description Aumann , Serrano (2008) – economic index of riskiness Foster, Hart (2009) – operational measure of riskiness

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Riskiness Leverage Models

Riskiness Leverage Models. Riskiness Leverage Models. AKA RMK algorithm Capital can be allocated to any level of detail in a completely additive fashion. Riskiness only needs to be defined on the total, and can be done so intuitively. Many functional forms of risk aversion are possible.

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217 views • 10 slides

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