Back to top

Deriving a theoretically defensible measure of risk

Research Brief 03
Johannes Fedderke and Neryvia Pillay
Publication date: 
March, 2009

According to economic theory, risk is a central consideration in financial decision-making. In practice, though, it is difficult to quantify the uncertainty faced by investors, particularly if the aim is to present a risk measure that is consistent with economic theory, is objective and can be replicated.