Stochastic dominance and risk measure: A decision-theoretic foundation for VaR and C-VaR

European Journal of Operational Research

Volumn 207, Issue 2, 2010, Pages 927-935

  Ma, Chenghu ^a   Wong, Wing Keung ^b  

^a FUDAN UNIVERSITY   (China)

^b HONG KONG BAPTIST UNIVERSITY   (Hong Kong)

Author keywords

Decision analysis; Risk analysis; Risk attributes; Stochastic dominance; Utility

Indexed keywords

DECISION ANALYSIS; DECISION-THEORETIC; DOWNSIDE RISKS; LOGICAL CONNECTIONS; PORTFOLIO CHOICE; QUANTIFIABLE MEASURES; RISK MEASURES; RISK TOLERANCE; STANDARD DEVIATION; STOCHASTIC DOMINANCE; UTILITY MAXIMIZATIONS;

ASYMPTOTIC ANALYSIS; DECISION THEORY; HEALTH HAZARDS; RISK ANALYSIS; RISK MANAGEMENT; RISK PERCEPTION; SAFETY FACTOR; STOCHASTIC SYSTEMS; VALUE ENGINEERING;

RISK ASSESSMENT;

EID: 77955554523     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ejor.2010.05.043     Document Type: Article

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