incorporating time-series behaviors of asset returns on the basis of coherent risk minimization. Analyzing the dual form of our … robust optimization. For this optimization, we prove that the worst-case coherent risk measure can be decomposed into the … empirical risk measure and the penalty terms. Numerical results demonstrate that when the number of assets is small, linear …

(PD), affects decisions under risk. We set up head-to-head situations where all preferences of a given class (expected … maximization; 73% are aligned with PD as opposed to preferences under risk aversion and under original and cumulative prospect …

This chapter surveys the rapidly growing literature in which risk preferences are measured and manipulated in … laboratory and field experiments. The most commonly used measurement instruments are: an investment task for allocations between … menus. Applications involve using inferred risk preferences to document demographic effects, e.g. gender, and to explain the …