measure based on decreasing absolute risk aversion utility function. I derive necessary and suffi cient conditions for …

We measure risk preferences for decisions that involve more than a single monetary attribute. According to theory, the … multivariate risk preferences correlation aversion, cross-prudence (coskewness preference) and cross-temperance (cokurtosis … aversion) determine how univariate risk preferences over attributes co-vary and interact. We obtain model-free measurements of …

the same for risk and ambiguity, as assumed by prospect theory, and sign‐comonotonic trade‐off consistency, the central …

We extend the definition of a convex risk measure to a conditional framework where additional information is available …. We characterize these risk measures through the associated acceptance sets and prove a representation result in terms of … conditional expectations. As an example we consider the class of conditional entropic risk measures. A new regularity property of …

This paper deals with risk measurement and portfolio optimization under risk constraints. Firstly we give an overview … of risk assessment from the viewpoint of risk theory, focusing on moment-based, distortion and spectral risk measures. We …-Gaussian features. We deal with the problem of portfolio optimization under risk constraints and lead a comparative analysis of …

In view of the recent financial crisis systemic risk has become a very important research object. It is of significant … crises. Systemic risk measures can provide more insight on this aspect. The study of systemic risk measures should support … central banks and financial regulators with information that allows for better decision making and better risk man- agement …

This paper investigates how welfare losses for facing risks change as the risk environment of the decision-maker is … altered. To that aim, we define the risk apportionment of order n (RA-n) utility premium as a measure of pain associated with … facing the passage from one risk to a riskier one. Changes in risks are expressed through the concept of stochastic dominance …