Browsing College of Business and Law by Subject "Risk aversion functions"

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Exponential spectral risk measures

Dowd, Kevin ; Cotter, John (University College Dublin. School of Business. Centre for Financial Markets, 2007-03-20)

Spectral risk measures are attractive risk measures as they allow the user to obtain risk measures that reflect their subjective risk-aversion. This paper examines spectral risk measures based on an exponential utility ...
Spectral risk measures and the choice of risk aversion functior

Dowd, Kevin ; Cotter, John (University College Dublin. School of Business. Centre for Financial Markets, 2007-03-11)

Spectral risk measures are attractive risk measures as they allow the user to obtain risk measures that reflect their risk-aversion functions. To date there has been very little guidance on the choice of risk-aversion ...