On the Conditional Value-at-Risk probability-dependent utility function

Theory and Decision

Volumn 68, Issue 1-2, 2010, Pages 49-68

  Street, Alexandre ^a  

^a PONTIFICAL CATHOLIC UNIVERSITY OF RIO DE JANEIRO   (Brazil)

Author keywords

Allais Paradox; Certainty Equivalent; Choquet Expected Utility; Conditional Value at Risk; Probability dependent utility function

Indexed keywords

ALLAIS PARADOX; CERTAINTY EQUIVALENT; CHOQUET EXPECTED UTILITY; CONDITIONAL VALUE-AT-RISK; UTILITY FUNCTIONS;

ECONOMICS; PROBABILITY; RISK ANALYSIS; RISK MANAGEMENT; VALUE ENGINEERING;

RISK ASSESSMENT;

EID: 74849085482     PISSN: 00405833     EISSN: 15737187     Source Type: Journal    
DOI: 10.1007/s11238-009-9154-2     Document Type: Article

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