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Decision making with conditional value-at-risk and spectral risk measures : the problem of comparative risk aversion ; conference paper

Brandtner, Mario; Kürsten, Wolfgang - 2014

We analyze spectral risk measures with respect to comparative risk aversion following Arrow (1965) and Pratt (1964) on the one hand, and Ross (1981) on the other hand. The implications for two standard financial decision problems, namely the willingness to pay for insurance and portfolio...

Persistent link: https://www.econbiz.de/10010491150

Decision making with Expected Shortfall and spectral risk measures : the problem of comparative risk aversion

Brandtner, Mario; Kürsten, Wolfgang - In: Journal of banking & finance 58 (2015), pp. 268-280

Persistent link: https://www.econbiz.de/10011544006

Consistent modeling of risk averse behavior with spectral risk measures : Wächter/Mazzoni revisited

Brandtner, Mario; Kürsten, Wolfgang - In: European journal of operational research : EJOR 259 (2017) 1, pp. 394-399

Persistent link: https://www.econbiz.de/10011645033

Entropic risk measures and their comparative statics in portfolio selection : coherence vs. convexity

Brandtner, Mario; Kürsten, Wolfgang; Rischau, Robert - In: European journal of operational research : EJOR 264 (2018) 2, pp. 707-716

Persistent link: https://www.econbiz.de/10011801916

Beyond expected utility : subjective risk aversion and optimal portfolio choice under convex shortfall risk measures

Brandtner, Mario; Kürsten, Wolfgang; Rischau, Robert - In: European journal of operational research : EJOR 285 (2020) 3, pp. 1114-1126

Persistent link: https://www.econbiz.de/10012239858

"Spectral risk measures: properties and limitations" : comment on Dowd, Cotter, and Sorwar

Brandtner, Mario - In: Journal of financial services research : JFSR 49 (2016) 1, pp. 121-131

Persistent link: https://www.econbiz.de/10011591964

Decision making under risk with spectral risk measures : concepts and applications in financial theory

Brandtner, Mario - 2016

Persistent link: https://www.econbiz.de/10011525409