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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
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Time-consistent decisions and temporal decomposition of coherent risk functionals
Pflug, Georg; Pichler, Alois - In: Mathematics of operations research 41 (2016) 2, pp. 682-699
Persistent link: https://www.econbiz.de/10011520518
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Multi-portfolio time consistency for set-valued convex and coherent risk measures
Feinstein, Zachary; Rudloff, Birgit - In: Finance and stochastics 19 (2015) 1, pp. 67-107
Persistent link: https://www.econbiz.de/10011417030
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The Foster-Hart measure of riskiness for general gambles
Riedel, Frank; Hellmann, Tobias - In: Theoretical economics : TE ; journal of the Econometric … 10 (2015) 1, pp. 1-9
Persistent link: https://www.econbiz.de/10010528233
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Convex risk measures based on generalized lower deviation and their applications
Fu, Tianwen; Zhuang, Xinkai; Hui, Yongchang; Liu, Jia - In: International review of financial analysis 52 (2017), pp. 27-37
Persistent link: https://www.econbiz.de/10011868689
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Numerical computation of convex risk measures
Papayiannis, G. I.; Yannacopoulos, Athanasios N. - In: Advances of OR in commodities and financial modeling, (pp. 417-435). 2018
Persistent link: https://www.econbiz.de/10011871424
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Time consistency and time consistent generalized convex multistage risk measures
Li Yang; Chen, Zhiping; Zhang, Feng - In: IMA journal of management mathematics 27 (2016) 3, pp. 419-437
Persistent link: https://www.econbiz.de/10011593272
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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
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The Foster-Hart measure of riskiness for general gambles
Hellmann, Tobias; Riedel, Frank - In: Theoretical economics : TE ; an open access journal in … 10 (2015) 1, pp. 1-9
random variables. For many continuous random variables, the risk measure is equal to the worst--case risk measure, i.e. the …
Persistent link: https://www.econbiz.de/10011674068
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A supermartingale relation for multivariate risk measures
Feinstein, Zachary; Rudloff, Birgit - In: Quantitative finance 18 (2018) 12, pp. 1971-1990
Persistent link: https://www.econbiz.de/10012262932