Similar Search Results - EconBiz

Decision making with Expected Shortfall and spectral risk measures : the problem of comparative risk aversion

Brandtner, Mario; Kürsten, Wolfgang - In: Journal of banking & finance 58 (2015), pp. 268-280

Persistent link: https://www.econbiz.de/10011544006

Decision making under risk with spectral risk measures : concepts and applications in financial theory

Brandtner, Mario - 2016

Persistent link: https://www.econbiz.de/10011525409

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 the one hand, and Ross (1981) on the other hand. The implications for two standard financial decision problems, namely the willingness to pay for insurance and portfolio...

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

"Spectral risk measures: properties and limitations" : comment on Dowd, Cotter, and Sorwar

Brandtner, Mario - In: Journal of financial services research : JFSR 49 (2016) 1, pp. 121-131

Persistent link: https://www.econbiz.de/10011591964

Beyond expected utility : subjective risk aversion and optimal portfolio choice under convex shortfall risk measures

Brandtner, Mario; Kürsten, Wolfgang; Rischau, Robert - In: European journal of operational research : EJOR 285 (2020) 3, pp. 1114-1126

Persistent link: https://www.econbiz.de/10012239858

Entropic risk measures and their comparative statics in portfolio selection : coherence vs. convexity

Brandtner, Mario; Kürsten, Wolfgang; Rischau, Robert - In: European journal of operational research : EJOR 264 (2018) 2, pp. 707-716

Persistent link: https://www.econbiz.de/10011801916

Expected Shortfall, spectral risk measures, and the aggravating effect of background risk, or: risk vulnerability and the problem of subadditivity

Brandtner, Mario - In: Journal of banking & finance 89 (2018), pp. 138-149

Persistent link: https://www.econbiz.de/10011963089

Kohärente Risikomessung versus individuelle Akzeptanzmengen : Anmerkungen zum impliziten Risikoverständnis des "Conditional Value-at-Risk"

Kürsten, Wolfgang; Brandtner, Mario - In: Schmalenbachs Zeitschrift für betriebswirtschaftliche … 61 (2009) 4, pp. 358-381

Persistent link: https://www.econbiz.de/10003844609

Conditional Value-at-Risk, spectral risk measures and (non-)diversification in portfolio selection problems : a comparison with mean-variance analysis

Brandtner, Mario - In: Journal of banking & finance 37 (2013) 12, pp. 5526-5537

Persistent link: https://www.econbiz.de/10010343658

Kohärente Risikomessung versus individuelle Akzeptanzmengen : Anmerkungen zur Reichweite des Risikomaßes "Conditional Value-at-Risk"

Kürsten, Wolfgang; Brandtner, Mario - 2008

Persistent link: https://www.econbiz.de/10003760778

A service of the