Decision making with Expected Shortfall and spectral risk measures : the problem of comparative risk aversion
Mario Brandtner, Wolfgang Kürsten (Friedrich Schiller University of Jena, Chair of Finance, Banking, and Risk Management, Jena, Germany)
| Year of publication: |
September 2015
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| Authors: | Brandtner, Mario ; Kürsten, Wolfgang |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 58.2015, p. 268-280
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| Subject: | Spectral risk measures | Expected Shortfall | Exponential spectral risk measures | Power spectral risk measures | Arrow-Pratt-risk aversion | Ross-risk aversion | Theorie | Theory | Risikomaß | Risk measure | Messung | Measurement | Risiko | Risk | Entscheidung unter Risiko | Decision under risk | Risikoaversion | Risk aversion |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2015.03.012 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011544006