Similar Search Results

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 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

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

Risikomessung, Risikomaße und Value-at-Risk

Kürsten, Wolfgang; Straßberger, Mario - In: Das Wirtschaftsstudium : wisu ; Zeitschrift für … 33 (2004) 2, pp. 202-207

Persistent link: https://www.econbiz.de/10001926253

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

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

Nonlinearly transformed risk measures : properties and application to optimal reinsurance

Brandtner, Mario; Kürsten, Wolfgang; Rischau, Robert - In: Scandinavian actuarial journal 2020 (2020) 5, pp. 376-395

Persistent link: https://www.econbiz.de/10012262746

Portfolio selection with tail nonlinearly transformed risk measures : a comparison with mean-CVaR analysis

Bergk, Kerstin; Brandtner, Mario; Kürsten, Wolfgang - In: Quantitative finance 21 (2021) 6, pp. 1011-1025

Persistent link: https://www.econbiz.de/10012515633