Consistent modeling of risk averse behavior with spectral risk measures: Wächter/Mazzoni revisited

DOI10.1016/j.ejor.2016.12.027zbMath1394.91194OpenAlexW2561303510MaRDI QIDQ1751823

Wolfgang Kürsten, Mario Brandtner

Publication date: 25 May 2018

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2016.12.027

zbMATH Keywords

decision support systemsconsistencyexpected utility theoryspectral risk measures

Mathematics Subject Classification ID

Cites Work

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• Consistent modeling of risk averse behavior with spectral risk measures
• COMPARATIVE ANALYSES OF EXPECTED SHORTFALL AND VALUE-AT-RISK(Special Issue on Theory, Methodology and Applications in Financial Engneering)
• Measurement Theory
• Stochastic finance. An introduction in discrete time

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