Consistent modeling of risk averse behavior with spectral risk measures
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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