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Keywords
Αποστροφή κινδύνου ; Δείκτης κινδύνου Aumann-Serrano ; Δυαδικότητα ; Επιχειρησιακό μέτρο επικινδυνότητας ; Δείκτης ελκυστικότητας ; Λοταρίες ; Κατανομή εισοδημάτωνAbstract
In this paper we give the axiomatic characterization of the Arrow-Pratt, Aumann-Serrano, Foster-Hart and M.Li measures of risk-aversion. Arrow-Pratt measures of risk-aversion are predominant in financial theory, but they are clearly subjective. Recently, Aumann and Serrano have developed a new index more objective since it only concerns the attributes of the gamble. Later, Foster-Hart and M.Li, influenced by this "new" index, develop a risk measure more "operational" and an attractiveness index. An analytical comparison of all the risk measures in the literature with the new and more objective Aumann-Serrano index and the application of the indexes to lotteries are developed in order to compare the results. While it has prevailed that these indicators are capable of telling us how dangerous a gamble is for an agent to decide whether to accept it or not, at the end of the work a different application of the Aumann-Serrano and Foster-Hart indicators is made, and we check how these indicators are able to inform us about the appropriate distribution of incomes in a country by comparing them with the official income inequality index (Gini coefficient).
Postgraduate Studies Programme
Χρηματοοικονομική και Τραπεζική με κατεύθυνση στην Χρηματοοικονομική Ανάλυση για ΣτελέχηDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Χρηματοοικονομικής και Τραπεζικής ΔιοικητικήςNumber of pages
67Language
Greek
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Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές