Certainty equivalent measures of risk

DOI10.1007/s10479-015-1801-0zbMath1406.91207OpenAlexW2021814962MaRDI QIDQ513613

Alexander Vinel, Pavlo A. Krokhmal

Publication date: 7 March 2017

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-015-1801-0

zbMATH Keywords

stochastic optimizationutility theorycoherent measures of riskconvex measures of risklog-exponential convex measures of riskrisk-averse preferences

Mathematics Subject Classification ID

Decision theory (91B06) Utility theory (91B16) Portfolio theory (91G10)

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