Consistent modeling of risk averse behavior with spectral risk measures

This paper clarifies the relation between decisions of a risk-averse decision maker, based on expected utility theory on the one hand, and spectral risk measures on the other.

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Year of publication:	2013
Authors:	Wächter, Hans Peter ; Mazzoni, Thomas
Published in:	European Journal of Operational Research. - Elsevier, ISSN 0377-2217. - Vol. 229.2013, 2, p. 487-495
Publisher:	Elsevier
Subject:	Risk management \| Utility theory \| Spectral risk measures \| Decision theory \| Coherent risk measure

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011052503