Browsing College of Business and Law by Subject "Utility theory--Mathematical models"

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Browsing College of Business and Law by Subject "Utility theory--Mathematical models"

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  • 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 ...
  • Dowd, Kevin ; Cotter, John (Icfai University Press, 2007-12)
    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 ...
  • Dowd, Kevin ; Cotter, John ; Sorwar, Ghulam (University College Dublin. School of Business. Centre for Financial MarketsUniversity College Dublin. School of Business, 2008-04-18)
    Spectral risk measures (SRMs) are risk measures that take account of user risk aversion, but to date there has been little guidance on the choice of utility function underlying them. This paper addresses this issue by ...
  • Dowd, Kevin ; Cotter, John ; Sorwar, Ghulam (Springer, 2008-08)
    Spectral risk measures (SRMs) are risk measures that take account of user risk-aversion, but to date there has been little guidance on the choice of utility function underlying them. This paper addresses this issue by ...
  • Cotter, John ; Hanly, Jim (Elsevier, 2012-05)
    A key issue in the estimation of energy hedges is the hedgers’ attitude towards risk which is encapsulated in the form of the hedgers’ utility function. However, the literature typically uses only one form of utility ...

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