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Set-valued dynamic risk measures for processes and for vectors

Chen, Yanhong; Feinstein, Zachary - In: Finance and stochastics 26 (2022) 3, pp. 505-533

Persistent link: https://www.econbiz.de/10013440234

Reinforcement learning with dynamic convex risk measures

Coache, Anthony; Jaimungal, Sebastian - In: Mathematical finance : an international journal of … 34 (2024) 2, pp. 557-587

Persistent link: https://www.econbiz.de/10014514792

Unusual estimates of probability weighting functions

Wilcox, Nathaniel T. - 2015

Persistent link: https://www.econbiz.de/10011406786

COVID-19 enhanced diminishing sensitivity in prospect-theory risk preferences : a panel analysis

Ikeda, Shinsuke; Yamamura, Eiji; Tsutsui, Yoshirō - 2020

affected people’s prospect-theory risk preferences, especially in the loss domain. The panel analysis indicates that with the …

Persistent link: https://www.econbiz.de/10012294624

COVID-19 enhanced diminishing sensitivity in prospect-theory risk preferences : a panel analysis

Ikeda, Shinsuke; Yamamura, Eiji; Tsutsui, Yoshirō - In: Review of behavioral economics 10 (2023) 4, pp. 287-313

Persistent link: https://www.econbiz.de/10014486813

Convex risk measures for good deal bounds

Arai, Takuji; Fukasawa, Masaaki - In: Mathematical finance : an international journal of … 24 (2014) 3, pp. 464-484

Persistent link: https://www.econbiz.de/10010484270

Utility-based shortfall risk : efficient computations via Monte Carlo

Hu, Zhaolin; Zhang, Dali - In: Naval research logistics : an international journal 65 (2018) 5, pp. 378-392

Persistent link: https://www.econbiz.de/10011969327

Aversion to risk of regret and preference for positively skewed risks

Gollier, Christian - 2016

Persistent link: https://www.econbiz.de/10012216637

Cumulative prospect theory version with fuzzy values of outcome estimates

Uzhga-Rebrov, Oleg; Grabusts, Peter - In: Risks : open access journal 9 (2021) 4, pp. 1-16

Choosing solutions under risk and uncertainty requires the consideration of several factors. One of the main factors in … choosing a solution is modeling the decision maker's attitude to risk. The expected utility theory was the first approach that … allowed to correctly model various nuances of the attitude to risk. Further research in this area has led to the emergence of …

Persistent link: https://www.econbiz.de/10012508716

How do empirical estimators of popular risk measures impact pro-cyclicality?

Bräutigam, Marcel; Kratz, Marie - In: Annals of actuarial science : publ. by the Institute of … 17 (2023) 3, pp. 547-579

Persistent link: https://www.econbiz.de/10014436789