Consistent Measures of Risk
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- Danielsson, Jon & Zigrand, Jean-Pierre & Jorgensen, Bjørn N. & Sarma, Mandira & de Vries, C. G., 2006. "Consistent measures of risk," LSE Research Online Documents on Economics 24517, London School of Economics and Political Science, LSE Library.
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- Massimiliano Caporin & Michele Costola & Gregory Mathieu Jannin & Bertrand Maillet, 2016. "On the (Ab)Use of Omega?," Working Papers hal-01697640, HAL.
- Massimiliano Caporin & Michele Costola & Gregory Jannin & Bertrand Maillet, 2018. "“On the (Ab)use of Omega ?”," Post-Print hal-03549448, HAL.
- Massimiliano Caporin & Michele Costola & Gregory Jannin & Bertrand Maillet, 2018. "“On the (Ab)use of Omega?”," Post-Print hal-02312145, HAL.
- Thomas Spooner & Rahul Savani, 2020. "A Natural Actor-Critic Algorithm with Downside Risk Constraints," Papers 2007.04203, arXiv.org.
- Belhajjam, A. & Belbachir, M. & El Ouardirhi, S., 2017. "Robust multivairiate extreme value at risk allocation," Finance Research Letters, Elsevier, vol. 23(C), pages 1-11.
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More about this item
Keywords
stochastic dominance; risk measures; preference ordering; utility theoryjel classification: d81; g00; g11;All these keywords.
JEL classification:
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G00 - Financial Economics - - General - - - General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FIN-2006-06-17 (Finance)
- NEP-FMK-2006-06-17 (Financial Markets)
- NEP-RMG-2006-06-17 (Risk Management)
- NEP-UPT-2006-06-17 (Utility Models and Prospect Theory)
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