take risk as measured by the general risk question. We demonstrate that this disposition, which we call risk conception, is … strongly associated with optimism, a stable facet of personality, and that it predicts real-life risk taking. The general risk … question captures this disposition alongside pure risk preference. This likely contributes to the predictive power of the …

take risk as measured by the general risk question. We demonstrate that this disposition, which we call risk conception, is … strongly associated with optimism, a stable facet of personality and that it predicts real-life risk taking. The general risk … question captures this disposition alongside pure risk preference. This enlightens why the general risk question is a better …

This paper deals with risk measurement and portfolio optimization under risk constraints. Firstly we give an overview … of risk assessment from the viewpoint of risk theory, focusing on moment-based, distortion and spectral risk measures. We …-Gaussian features. We deal with the problem of portfolio optimization under risk constraints and lead a comparative analysis of …

We study portfolio selection using Conditional Value-at-Risk and, as its natural extension, spectral risk measures … optimal portfolios within an integrated framework. We find that spectral risk measures tend towards corner solutions. If a … risk free asset exists, diversification is never optimal. Similarly, for risky assets we obtain only limited …

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

This paper studies collective decision making when individual preferences can be represented by convex risk measures …. It addresses the question whether there exist non-dictatorial aggregation functions of convex risk measures satisfying …), and the Pareto principle. Herein, convex risk measures are identified with variational preferences on account of the …

We develop a utility and asset pricing theory that features a novel measure of tail risk. Our model determines investor … demand for both left and right-tail risk premia from an indifference curve incorporating tolerance for variance and tail risk …. We show that the systematic tail risk factors determined by market co-tail-variabilities on individual assets are …

riskiness to continuous random variables. For many continuous random variables, the risk measure is equal to the worst-case risk … measure, i.e. the maximal possible loss incurred by that gamble. We also extend the Foster-Hart risk measure to dynamic …

We analyze spectral risk measures with respect to comparative risk aversion following Arrow (1965) and Pratt (1964) on … widely-applied spectral Arrow-Pratt-measure is not a consistent measure of Arrow-Pratt-risk aversion. A decision maker with a … decision maker with a smaller spectral Arrow-Pratt-measure. We further show how a proper measure of Arrow-Pratt-risk aversion …