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Dyskontowanie pod wpływem awersji do ryzyka − próba uogólnienia

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Piasecki K.

Studia Ekonomiczne

2016

vol. 297

145-152

Głównym celem artykułu jest kontynuacja badań nad wpływem awersji do ryzyka na wartość bieżącą. Niniejsze rozważania są uogólnione do przypadku, gdy miara awersji do ryzyka zależy równocześnie od momentu i wartości przepływu finansowego. Z ogólnej definicji wartości bieżącej został wyprowadzony warunek ograniczający zmienność stosowanej miary awersji do ryzyka. Rozważania te uzupełniono o dwa aksjomaty określające miarę awersji do ryzyka jako monotoniczną funkcję momentu i wartości przepływu finansowego. Ponadto pokazano, że w przypadku braku awersji do ryzyka definiowana wartość bieżąca spełnia warunki nałożone przez definicję Peccatiego.

The main goal of this work is the continuation of studies on the risk aversion impact on present value. Our considerations are generalized here to the case where the risk aversion measure depends on the timing and value of cash flow at the same time. Constraint of volatility of applied risk aversion measure has been implied from the general definition of the present value. These considerations are supplemented by two axioms which are determining risk aversion measure, as a monotonic function of time and value of cash flow. Furthermore, it is shown that in the absence of risk aversion defined present value fulfills the conditions imposed by the Peccati’s definition.

IDEAS in AGORA: Decision-Making Risk: The Difference Between Risk And Uncertainity In Economic Activities

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Vasilcovschi N., Munteanu G.

Human and Social Studies

2014

vol. 3

issue 2

34-46

Economic activities are always supposed to carry with them the risk of market. Our area of research is concerned with what is known as the model of risk decisions at the level of economic activity; a model that can be valuable at any point of economic development. In our research, we present important aspects of risk in taking decisions in the previous and current dynamics of the market. The conditions of taking decisions with potential risks provide decision-makers with the possibility to analyze and calculate risk in order to know what can be gained and lost. In our paper, we present a short description of a different model of risk in economic activity and of decision-making risk, providing examples that have been offered by various authors. For example, Friedman and Savage present the utility function of an economic agent and its availability to accept the risk, while Markowitz defines utility in terms of winning or losing. Our paper starts with a presentation of the quantification of risk in economic activity. In the second part, we present a model of decision-making risk that is applied in economic activities and the difference between risk and uncertainty.

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1 Human and Social Studies

1 Studia Ekonomiczne

1 Munteanu G.

1 Piasecki K.

1 Vasilcovschi N.

1 2016

1 2014

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Dyskontowanie pod wpływem awersji do ryzyka − próba uogólnienia

IDEAS in AGORA: Decision-Making Risk: The Difference Between Risk And Uncertainity In Economic Activities