Risk measures based on behavioural economics theory
Year of publication: |
April 2018
|
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Authors: | Mao, Tiantian ; Cai, Jun |
Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 22.2018, 2, p. 367-393
|
Subject: | Distortion risk measure | Expectile | Coherent risk measure | Convex risk measure | Monetary risk measure | Stop-loss order preserving | Rank-dependent expected utility theory | Cumulative prospect theory | Risikomaß | Risk measure | Risiko | Risk | Messung | Measurement | Erwartungsnutzen | Expected utility | Prospect Theory | Prospect theory | Entscheidung unter Risiko | Decision under risk | Portfolio-Management | Portfolio selection |
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