Prospect Theory) always satisfies the well-known axiomatic characterisation of a monetary risk measure, although in rational … Expected Utility Theory this only holds in special cases. In contrast to other literature, this paper takes into account that … the (negative) generalised CE, which always satisfies the properties of a monetary risk measure for a large class of …

This paper studies mean-risk portfolio selection in a one-period financial market, where risk is quantified by a star …-shaped risk measure ρ. We introduce two new axioms: weak and strong sensitivity to large losses. We show that the first axiom is … leads to a new class of risk measures that are suitable for portfolio selection. We show that ρ belongs to this class if and …