, respectively. This paper puts a new perspective on these relationships and presents a characterization of higher-order risk … preferences in terms of statistical moments. An implication is, for example, that prudence implies preference for distributions … with higher skewness as defined by all odd moments. Moreover, we show that this preference is robust towards variation in …

Fiktion notwendig ist, aber eine Fiktion bleibt. Aber was heisst es für die (ökonomische) Theorie der Zukunftsentscheidungen …

Expected Utility theory is not only applied to individual choices but also to ethical decisions, e.g. in cost … EU theory is able to deal with 'catastrophic risks', i.e. risks of high, but very unlikely losses, in an ethically … appealing way. In this paper we show that this is not the case. Rather, if in the framework of EU theory a plausible level of …

This paper in applied theory argues that there is a loose chain of reasoning connecting the following three basic links …

This paper in applied theory argues that there is a loose chain of reasoning connecting the following three basic links …

for improving our understanding of the risk of hedge funds. At the same time, research has sprung up that applies standard … performance and risk assessment. After constructing Bayesian estimators for alpha-stable distributions in the context of an ARMA …-GARCH time series model with stable innovations, we compare our risk evaluation and prediction results to the predictions of …

downside risk and recognizes the heavytail feature of the asset return distributions. Then we show that optimal portfolio sizes …

is plugged in a fairly general distribution-invariant risk measure. We focus on the rate of the convergence of the error … means of a numerical example. Regarding the risk measure, we take into account distortion risk measures as well as … distribution-invariant coherent risk measures. …

moments; DCC does not have testable regularity conditions; DCC yields inconsistent two step estimators; DCC has no asymptotic …