Egging-Bratseth, Ruud; Siddiqui, Afzal S. - In: Decision analytics journal 7 (2023), pp. 1-10
-averse firms monotonically forgo expected profit in exchange for an improved risk measure, e.g., conditional value-at-risk (CVaR …). However, the stochastic-equilibrium literature exhibits non-monotonicities, i.e., both CVaR and expected profit increase with …