General dual measures of riskiness

DOI10.1007/S11238-014-9421-8MaRDI QIDQ2353582zbMATH OpenOpenAlexFDO

Authors Klaas Schulze

Publication date 15 July 2015

Published in Theory and Decision (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11238-014-9421-8

zbMATH Keywords

decision-making under riskdualityexpected utilityrisk measuresriskiness

Mathematics Subject Classification ID

Recommendations

• Duality for set-valued measures of risk
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• RISK MEASURES: RATIONALITY AND DIVERSIFICATION
• A contribution to duality theory, applied to the measurement of risk aversion

Cites work

• A global index of riskiness
• An economic index of riskiness
• An operational interpretation and existence of the Aumann-Serrano index of riskiness
• Coherent measures of risk
• Convex measures of risk and trading constraints
• Economic Capital Allocation Derived from Risk Measures
• Existence and computation of the Aumann-Serrano index of riskiness and its extension
• scientific article; zbMATH DE number 3333061 (Why is no real title available?)
• Prospect Theory: An Analysis of Decision under Risk
• Risk Aversion in the Small and in the Large
• The canonical model space for law-invariant convex risk measures is \(L^{1}\)

Cited in

(3)

• Riskiness in gambles that belong to the same location-scale family and with well-defined means and variances
• A generalized measure of riskiness
• Investment under duality risk measure

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