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On the Conditional Value-at-Risk probability-dependent utility function · Study

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ArticleOn the Conditional Value-at-Risk probability-dependent utility function

Alexandre Street2009

Article2009

On the Conditional Value-at-Risk probability-dependent utility function

Alexandre Street

60 citations·0/0 files stored·Theory and Decision

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Risk and Portfolio Optimization Decision-Making and Behavioral Economics Financial Risk and Volatility Modeling

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References

2019Theory of games and economic behavior 1999Coherent Measures of Risk 1961Risk, Ambiguity, and the Savage Axioms 2000Optimization of conditional value-at-risk 2011Introduction to Stochastic Programming 1945Theory of Games and Economic Behavior 2002Conditional value-at-risk for general loss distributions 1947Theory of Games and Economic Behavior

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2018Robust strategic bidding in auction-based markets 2019Time-consistent, risk-averse dynamic pricing

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Year2009

Typearticle

Published2009-06-23

VenueTheory and Decision

ISSN-L0040-5833

Languageen

Citations60

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1007/s11238-009-9154-2

openalex_workW2019564166

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