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On the Conditional Value-at-Risk probability-dependent utility function
16 references·2 citing·26 second hop
On the Conditional Value-at-Risk probability-dependent utility function (2009)On the Conditional Value-at-Risk probabil…Theory of games and economic behavior (2019)Theory of games and economic …Introduction to Stochastic Programming (2011)Introduction to Stochastic Pr…Sample Average Approximation Method for Chance Constrained Programming: Theory and Applications (2009)Sample Average Approximation …Lectures on Stochastic Programming (2009)Lectures on Stochastic Progra…Expected Shortfall: A Natural Coherent Alternative to Value at Risk (2002)Expected Shortfall: A Natural…Conditional value-at-risk for general loss distributions (2002)Conditional value-at-risk for…Optimization of conditional value-at-risk (2000)Optimization of conditional v…Coherent Measures of Risk (1999)Coherent Measures of RiskIntroduction to Stochastic Programming (1997)Introduction to Stochastic Pr…Value at risk: the new benchmark for controlling market risk (1996)Value at risk: the new benchm…"Expected Utility" Analysis without the Independence Axiom (1982)"Expected Utility" Analysis w…Expected Utility Hypotheses and the Allais Paradox (1979)Expected Utility Hypotheses a…Risk, Ambiguity, and the Savage Axioms (1961)Risk, Ambiguity, and the Sava…Theory of Games and Economic Behavior (1947)Theory of Games and Economic …Theory of Games and Economic Behaviour. (1946)Theory of Games and Economic …Theory of Games and Economic Behavior (1945)Theory of Games and Economic …Time-consistent, risk-averse dynamic pricing (2019)Time-consistent, risk-averse …Robust strategic bidding in auction-based markets (2018)Robust strategic bidding in a…PORTFOLIO SELECTION* (1952)On the coherence of expected shortfall (2002)Spectral measures of risk: A coherent representation of subjective risk aversion (2002)Making and Evaluating Point Forecasts (2011)The Sample Average Approximation Method for Stochastic Discrete Optimization (2002)Theory and Applications of Robust Optimization (2010)Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations (2015)Modeling and Forecasting Realized Volatility (2003)The Framing of Decisions and the Psychology of Choice (1981)Prospect theory: An analysis of decision under risk (1988)Advances in prospect theory: Cumulative representation of uncertainty (1992)The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence (1985)Theory of Financial Decision Making. (1988)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Toward a positive theory of consumer choice (1980)Non-cooperative games (1989)Subjectivity and correlation in randomized strategies (1974)The Health Utilities Index (HUI): concepts, measurement properties and applications. (2003)Games with Incomplete Information Played by “Bayesian” Players, I–III: Part I. The Basic Model (2004)Representative design and probabilistic theory in a functional psychology. (1955)Features of similarity. (1977)Evolutionary game dynamics (2003)A Sampling-and-Discarding Approach to Chance-Constrained Optimization: Feasibility and Optimality (2010)A Guide to Sample Average Approximation (2014)Data-driven chance constrained stochastic program (2015)
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Cited by

  • 2018Robust strategic bidding in auction-based markets45 cited
  • 2019Time-consistent, risk-averse dynamic pricing23 cited