Certainty equivalent measures of risk
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Publication:513613
DOI10.1007/s10479-015-1801-0zbMath1406.91207OpenAlexW2021814962MaRDI QIDQ513613
Alexander Vinel, Pavlo A. Krokhmal
Publication date: 7 March 2017
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-015-1801-0
stochastic optimizationutility theorycoherent measures of riskconvex measures of risklog-exponential convex measures of riskrisk-averse preferences
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