On the conditional value-at-risk probability-dependent utility function
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Publication:849311
DOI10.1007/s11238-009-9154-2zbMath1182.91095OpenAlexW2019564166MaRDI QIDQ849311
Publication date: 25 February 2010
Published in: Theory and Decision (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11238-009-9154-2
certainty equivalentChoquet expected utilityAllais paradoxconditional value-at-riskprobability-dependent utility function
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- Convex Analysis
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