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Consistent modeling of risk averse behavior with spectral risk measures |
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| Authors: | Hans Peter Wä chter,Thomas Mazzoni |
| Affiliation: | Department of Economics and Finance, University of Greifswald, Greifswald, Germany |
| Abstract: | This paper clarifies the relation between decisions of a risk-averse decision maker, based on expected utility theory on the one hand, and spectral risk measures on the other. |
| Keywords: | Risk management Utility theory Spectral risk measures Decision theory Coherent risk measure |
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