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Consistent modeling of risk averse behavior with spectral risk measures: Wächter/Mazzoni revisited.
Mario Brandtner
Wolfgang Kürsten
Published in:
Eur. J. Oper. Res. (2017)
Keyphrases
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risk measures
risk averse
utility function
stochastic programming
decision makers
portfolio management
expected utility
artificial intelligence
decision making
long term
cost function
theoretical framework
project management
portfolio optimization