A Decision Rule Based on the Conditional Value at Risk

Werner Jammernegg (werner.jammernegg@wu-wien.ac.at) and Peter Kischka (p.kischka@wiwi.uni-jena.de)
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Werner Jammernegg: Vienna University of Economics and Business Administration, Department of Information Systems and Operations
Peter Kischka: University of Jena, Faculty of Economics

No 09/2005, Jenaer Schriften zur Wirtschaftswissenschaft (Expired!) from Friedrich Schiller University of Jena, School of of Economics and Business Administration

Abstract: We introduce a decision rule where the risk dimension is measured by the conditional value of risk. We characterize the risk attitudes implied by the decision rule in a way similar to the well known mean variance framework. We show that the rule is consistent with Yaaris dual theory for all risk attitudes. Finally a reformulation of the decision rule is presented which is based on two conditional expected values.

Date: 2005-09-08
New Economics Papers: this item is included in nep-fin, nep-fmk, nep-ias and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:jen:jenasw:2005-09

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