Parametric multi-attribute utility functions for optimal profit under risk constraints
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DOI: 10.1007/s11238-011-9255-6
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Cited by:
- Babacar Seck & Robert J. Elliott, 2021. "Regime Switching Entropic Risk Measures on Crude Oil Pricing," Papers 2112.13041, arXiv.org.
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More about this item
Keywords
Risk measures; Utility functions; Non-expected utility theory; Maxmin; Conditional value-at-risk; Loss aversion; D81;All these keywords.
JEL classification:
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
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