A Decision Rule Based on the Conditional Value at Risk

We introduce a decision rule where the risk dimension is measured by the conditional value of risk. We characterize the risk attitudes implied by the decision rule in a way similar to the well known mean variance framework. We show that the rule is consistent with Yaaris dual theory for all risk attitudes. Finally a reformulation of the decision rule is presented which is based on two conditional expected values.

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Year of publication:	2005-09-08
Authors:	Jammernegg, Werner ; Kischka, Peter
Institutions:	Wirtschaftswissenschaftliche Fakultät, Friedrich-Schiller-Universität Jena

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Extent:	application/pdf
Series:	Jenaer Schriften zur Wirtschaftswissenschaft.
Type of publication:	Book / Working Paper
Language:	English
Notes:	The text is part of a series Jenaer Schriften zur Wirtschaftswissenschaft Number 09/2005
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005835241