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Spectral risk measures (SRMs) are risk measures that take account of user riskaversion, but to date there has been little guidance on the choice of utility function underlying them. This paper addresses this issue by examining alternative approaches based on exponential and power utility...
Persistent link: https://www.econbiz.de/10008876798
Spectral risk measures (SRMs) are risk measures that take account of user risk-aversion, but to date there has been little guidance on the choice of utility function underlying them. This paper addresses this issue by examining alternative approaches based on exponential and power utility...
Persistent link: https://www.econbiz.de/10008515081
Spectral risk measures (SRMs) are risk measures that take account of user riskaversion, but to date there has been little guidance on the choice of utility function underlying them. This paper addresses this issue by examining alternative approaches based on exponential and power utility...
Persistent link: https://www.econbiz.de/10013153390
Persistent link: https://www.econbiz.de/10008665539
Persistent link: https://www.econbiz.de/10009708117
Spectral risk measures (SRMs) are risk measures that take account of user risk aversion, but to date there has been little guidance on the choice of utility function underlying them. This paper addresses this issue by examining alternative approaches based on exponential and power utility...
Persistent link: https://www.econbiz.de/10008808025
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