Search Results - subject:"spectral risk measures"

The riskiness of stock versus money market investment with stochastic rates

Szabó, Dávid Zoltán; Bihary, Zsolt - In: Central European journal of operations research 31 (2023) 2, pp. 393-415

Persistent link: https://www.econbiz.de/10014251616

Robust portfolio selection with subjective risk aversion under dependence uncertainty

Su, Xiaoshan; Li, Yuhan - In: Economic modelling 132 (2024), pp. 1-16

Persistent link: https://www.econbiz.de/10014547968

Maximum spectral measures of risk with given risk factor marginal distributions

Ghossoub, Mario; Hall, Jesse; Saunders, David M. - In: Mathematics of operations research 48 (2023) 2, pp. 1158-1182

Persistent link: https://www.econbiz.de/10014314983

Decision making with conditional value-at-risk and spectral risk measures : the problem of comparative risk aversion ; conference paper

Brandtner, Mario; Kürsten, Wolfgang - 2014

We analyze spectral risk measures with respect to comparative risk aversion following Arrow (1965) and Pratt (1964) on … exponential and power spectral risk measures cannot be completely ordered with respect to Ross-risk aversion. As a consequence … risky asset may be increasing with increasing risk parameter. These shortcomings have to be considered before spectral risk …

Persistent link: https://www.econbiz.de/10010491150

Counterparty risk allocation

Baule, Rainer - In: Journal of risk 25 (2022) 1, pp. 49-74

Persistent link: https://www.econbiz.de/10013549681

Spectral risk measure of holding stocks in the long run

Bihary, Zsolt; Csóka, Péter; Szabó, Dávid Zoltán - 2018

the holding period. Previous papers have shown that within a limited class of spectral risk measures, and when the stock … exponential Lévy processes. We also prove the same behavior for all spectral risk measures (including the important special case …

Persistent link: https://www.econbiz.de/10012290259