We consider a vector-valued multivariate risk measure that depends on the user's profile given by the user's utility …

We assess alternative presentations of investment risk using a discrete choice experiment which asked subjects to rank … three investment portfolios for retirement savings across nine risk presentation formats and four underlying risk levels …. Using Prospective Theory utility specifications we estimate individual-specific parameters for risk preferences in gains and …

with individual VaR delivers an optimal wealth assignment between risky and risk-free assets …

risk exposure using a general law- invariant risk measure such as Value-at-Risk and tail Value-at-Risk. The analytic … control the risk exposure when he/she has not enough money to invest or the constraint is very restrictive …

This paper introduces optimal expected utility (OEU) risk measures, investigates their main properties and puts them in … perspective to alternative risk measures and notions of certainty equivalents. Taking the investor's point of view, OEU maximizes …, OEU is the only existing utility-based risk measure that is (non-trivial and) coherent if the utility function u has …

capital increase is needed. We introduce the scalarized utility-based multi-asset (SUBMA) risk measure which optimizes the … risk measure is coherent if the utility function has constant relative risk aversion and the capital adequacy test leads to … a coherent acceptance set. In a one-period financial market model we present a sufficient condition for the SUBMA risk …