Consistent modeling of risk averse behavior with spectral risk measures: Wächter/Mazzoni revisited
type: Item
instance of: scholarly article
title: Consistent modeling of risk averse behavior with spectral risk measures: Wächter/Mazzoni revisited
zbMATH Open document ID: 1394.91194
author: Mario Brandtner
author: Wolfgang Kürsten
published in: European Journal of Operational Research
publication date: 2018-05-25T00:00:00Z
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 91B16
Mathematics Subject Classification ID: 91B06
zbMATH DE Number: 6873607
zbMATH Keywords: decision support systems
zbMATH Keywords: spectral risk measures
zbMATH Keywords: expected utility theory
zbMATH Keywords: consistency
MaRDI profile type: Publication
full work available at URL: j.ejor.2016.12.027
OpenAlex ID: W2561303510
cites work: Stochastic finance. An introduction in discrete time
cites work: Theory of games and economic behavior.
cites work: Measurement Theory
cites work: Q5310532
cites work: Consistent modeling of risk averse behavior with spectral risk measures
cites work: COMPARATIVE ANALYSES OF EXPECTED SHORTFALL AND VALUE-AT-RISK(Special Issue on Theory, Methodology and Applications in Financial Engneering)
DOI: 10.1016/J.EJOR.2016.12.027
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description: scientific article; zbMATH DE number 6873607