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  • Search: subject:"risk aversion function.Spectral measu"
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Coherent risk measure 1 Distortion function 1 Spectral measures 1 risk aversion function.Spectral measu 1
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Book / Working Paper 1
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Undetermined 1
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Gzyl, Henryk 1 Mayoral, Silvia 1
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School of Economics and Business Administration, University of Navarra 1
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On a relationship between distorted and spectral risk measures
Gzyl, Henryk; Mayoral, Silvia - School of Economics and Business Administration, …
We study the relationship between two widely used risk measures, spectral measures and distortion risk measures. In both cases, the risk measure can be thought of as a re-weighting of some initial distribution. We prove that spectral risk measures are equivalent to distorted risk pricing...
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