Consistent modeling of risk averse behavior with spectral risk measures: Wächter/Mazzoni revisited

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• 作者：Mario Brandtner ; ^{Mario.Brandtner@wiwi.uni-jena.de} ; Wolfgang Kü ; rsten
• 关键词：Decision support systems ; Spectral risk measures ; Expected utility theory ; Consistency
• 刊名：European Journal of Operational Research
• 出版年：2017
• 出版时间：16 May 2017
• 年：2017
• 卷：259
• 期：1
• 页码：394-399
• 全文大小：385 K
• 卷排序：259

文摘

We revisit Wächter/Mazzoni (2013)’s linking procedure. The general procedure does not yield a spectral risk measure. The specific procedure violates expected utility and spectral risk measure-axioms. A general consistency between the two decision rules is impossible.