Stochastic dominance and risk measure: a decision-theoretic foundation for VaR and C-VaR

DOI10.1016/j.ejor.2010.05.043zbMath1206.91047MaRDI QIDQ992696

Chenghu Ma, Wing-Keung Wong

Publication date: 9 September 2010

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: http://research.soe.xmu.edu.cn/repec/upload/20074231156587055475115776.pdf

zbMATH Keywords

utilityrisk analysisdecision analysisstochastic dominancerisk attributes

Mathematics Subject Classification ID

91B06: Decision theory

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