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Optimal investment in hedge funds under loss aversion

Zou, Bin - In: International journal of theoretical and applied finance 20 (2017) 3, pp. 1-32

Persistent link: https://www.econbiz.de/10011686964

Optimal hedge ratio under a subjective re-weighting of the original measure

Barbi, Massimiliano; Romagnoli, Silvia - In: Applied economics 48 (2016) 13/15, pp. 1271-1280

Persistent link: https://www.econbiz.de/10011433130

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

The risk-averse newsvendor problem under spectral risk measures : a classification with extensions

Arıkan, Emel; Fichtinger, Johannes - In: European journal of operational research : EJOR 256 (2017) 1, pp. 116-125

Persistent link: https://www.econbiz.de/10011611185

Consistent modeling of risk averse behavior with spectral risk measures : Wächter/Mazzoni revisited

Brandtner, Mario; Kürsten, Wolfgang - In: European journal of operational research : EJOR 259 (2017) 1, pp. 394-399

Persistent link: https://www.econbiz.de/10011645033

Risk-aversion in data envelopment analysis models with diversification

Adam, Lukáš; Branda, Martin - In: Omega : the international journal of management science 102 (2021), pp. 1-15

Persistent link: https://www.econbiz.de/10012514499

Comment on "Modeling non-monotone risk aversion using SAHARA utility functions"

Cui, Zhenyu - In: Journal of economic theory 153 (2014), pp. 703-705

Persistent link: https://www.econbiz.de/10010482391

Encompassing statistically unquantifiable randomness in goal programming : an application to portfolio selection

Bravo, Mila; Jones, Dylan; Pla-Santamaria, David; … - In: Operational research : an international journal 22 (2022) 5, pp. 5685-5706

Persistent link: https://www.econbiz.de/10013445637

Coordinating operational policy with financial hedging for risk-averse firms

Ni, Jian; Chu, Lap Keung; Yen, Benjamin P. C. - In: Omega : the international journal of management science 59 (2016), pp. 279-289

Persistent link: https://www.econbiz.de/10011439812