Werner Jammernegg () (Vienna University of Economics and Business Administration, Department of Information Systems and Operations) Peter Kischka () (University of Jena, Faculty of Economics)
Abstract
We introduce a decision rule where the risk dimension is measured by the conditional value of risk. We characterize the risk attitudes implied by the decision rule in a way similar to the well known mean variance framework. We show that the rule is consistent with Yaaris dual theory for all risk attitudes. Finally a reformulation of the decision rule is presented which is based on two conditional expected values.
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