Consistent modeling of risk averse behavior with spectral risk measures

Hans Peter Wächter and Thomas Mazzoni

European Journal of Operational Research, 2013, vol. 229, issue 2, 487-495

Abstract: This paper clarifies the relation between decisions of a risk-averse decision maker, based on expected utility theory on the one hand, and spectral risk measures on the other.

Keywords: Risk management; Utility theory; Spectral risk measures; Decision theory; Coherent risk measure (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (13)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:229:y:2013:i:2:p:487-495

DOI: 10.1016/j.ejor.2013.03.001

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