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General dual measures of riskiness

Schulze, Klaas - In: Theory and decision : an international journal for … 78 (2015) 2, pp. 289-304

Persistent link: https://www.econbiz.de/10010513819

Existence and computation of the Aumann–Serrano index of riskiness and its extension

Schulze, Klaas - In: Journal of mathematical economics 50 (2014), pp. 219-224

Persistent link: https://www.econbiz.de/10010478645

Essays on dual risk measures and the asymptotic term structure

Schulze, Klaas (contributor) - 2009

Persistent link: https://www.econbiz.de/10003872174

Multi-stock portfolio optimization under prospect theory

Pirvu, Traian A.; Schulze, Klaas - In: Mathematics and financial economics 6 (2012) 4, pp. 337-362

Persistent link: https://www.econbiz.de/10009623555

Existence and computation of the Aumann–Serrano index of riskiness and its extension

Schulze, Klaas - In: Journal of Mathematical Economics 50 (2014) C, pp. 219-224

Aumann and Serrano (2008) introduce the index of riskiness to quantify the risk of a gamble. We discuss for which gambles this index of riskiness exists by considering the acceptance behavior of CARA-agents. Since for several relevant distributions riskiness is not defined, we suggest an...

Persistent link: https://www.econbiz.de/10010875268

General dual measures of riskiness

Schulze, Klaas - In: Theory and Decision 78 (2015) 2, pp. 289-304

Aumann and Serrano (J Political Econ 116(5):810–836, <CitationRef CitationID="CR3">2008</CitationRef>) introduce the axiom of duality, which ensures that risk measures respect comparative risk aversion. This paper characterizes all dual risk measures by a simple equivalent condition. This equivalence provides a decomposition result and...</citationref>

Persistent link: https://www.econbiz.de/10011154897