On the conditional value-at-risk probability-dependent utility function

DOI10.1007/s11238-009-9154-2zbMath1182.91095OpenAlexW2019564166MaRDI QIDQ849311

Alexandre Street

Publication date: 25 February 2010

Published in: Theory and Decision (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11238-009-9154-2

zbMATH Keywords

certainty equivalentChoquet expected utilityAllais paradoxconditional value-at-riskprobability-dependent utility function

Mathematics Subject Classification ID

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• AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT
• Convex Analysis

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