具有混合参数的多维风险规避

2011 6th IEEE International Symposium on Applied Computational Intelligence and Informatics (SACI) Pub Date : 2011-05-19 DOI:10.1109/SACI.2011.5872974

I. Georgescu, J. Kinnunen

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引用次数: 11

摘要

本文针对多风险参数情况，提出了一种风险规避方法。有些参数是概率性的，有些参数是可能性的。我们引入了混合风险溢价向量，这是一个结合风险厌恶的概率和可能性方面的概念。本文的主要成果是一个计算混合风险溢价向量的公式。该模型可用于评估网格计算中的风险规避。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Multidimensional risk aversion with mixed parameters

In this paper we propose an approach of risk aversion for the situations with many risk parameters. Some of the parameters are described probabilistically, and others possibilistically. We introduce mixed risk premium vector, a notion, which combines probabilistic and possibilistic aspects of risk aversion. The main result of the paper is a formula for the calculation of the mixed risk premium vector. Our model can be applied for the evaluation of risk aversion in grid computing.

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2011 6th IEEE International Symposium on Applied Computational Intelligence and Informatics (SACI)

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