Consistent modeling of risk averse behavior with spectral risk measures: Wächter/Mazzoni revisited
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Publication:1751823
DOI10.1016/j.ejor.2016.12.027zbMath1394.91194OpenAlexW2561303510MaRDI QIDQ1751823
Wolfgang Kürsten, Mario Brandtner
Publication date: 25 May 2018
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2016.12.027
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Cites Work
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- Consistent modeling of risk averse behavior with spectral risk measures
- COMPARATIVE ANALYSES OF EXPECTED SHORTFALL AND VALUE-AT-RISK(Special Issue on Theory, Methodology and Applications in Financial Engneering)
- Measurement Theory
- Stochastic finance. An introduction in discrete time
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