Decision making with Expected Shortfall and spectral risk measures : the problem of comparative risk aversion
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 | Risikomaß | Risk measure | Risiko | Risk | Messung | Measurement | Theorie | Theory | Risikoaversion | Risk aversion | Entscheidung unter Risiko | Decision under risk |
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