. In particular, it is shown that the presence of background risk makes risk measurement sensitive to the scale and …A distortion-type risk measure is constructed, which evaluates the risk of any uncertain position in the context of a … portfolio that contains that position and a fixed background risk. The risk measure can also be used to assess the performance …

decision maker uses a dynamic convex risk measure to evaluate future rewards. We also find a saddle point for an equivalent …

We compare seven established risk elicitation methods and investigate how they robustly explain eleven kinds of risky … behavior with 760 individuals. Risk measures are positively correlated; however, their performance in explaining behavior is … heterogeneous and, therefore, difficult to assess ex ante. To close this knowledge gap, greater diversification across risk measures …

We investigate risk averse agents who manage risk by trading financial securities in a market that we call a risk … market. We assume this market is perfectly competitive and complete. When risk aversion is expressed using risk measures, the … probability distributions defines a novel template for equilibria under uncertainty and, more specifically, equilibria under risk …

Introduced by Artzner, Delbaen, Eber and Heath (1998) the axiomatic characterization of a static coherent risk measure … was extended by Jouini, Meddeb and Touzi (2004) in a multi-dimensional setting to the concept of vector-valued risk … measures. In this paper, we propose a dynamic version of the vector-valued risk measures in a continuous-time framework …