کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
4959939 | 1445960 | 2017 | 6 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Consistent modeling of risk averse behavior with spectral risk measures: Wächter/Mazzoni revisited
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
مهندسی کامپیوتر
علوم کامپیوتر (عمومی)
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
Wächter and Mazzoni (2013) (W/M) have proposed a procedure to consistently link traditional expected utility (EU)-theory with modern spectral risk measures (SRMs). They construct a corresponding W/M-risk measure which induces the same preference ordering as the decision maker's initial utility function does. In this note, we revisit W/M's procedure and show that it violates the axiomatic foundation of the underlying decision rules: Within the general part of the procedure that builds on an auxiliary equivalent probability measure, the emerging W/M-risk measure does not satisfy the axiomatic properties of SRMs. The specific part of the procedure that singles out a preferred equivalent probability measure links two decision rules of which neither does the initial one respect the axioms of EU-theory, nor is the emerging one in line with the SRM-axioms.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: European Journal of Operational Research - Volume 259, Issue 1, 16 May 2017, Pages 394-399
Journal: European Journal of Operational Research - Volume 259, Issue 1, 16 May 2017, Pages 394-399
نویسندگان
Mario Brandtner, Wolfgang Kürsten,