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A Decision Rule Based on the Conditional Value at Risk

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  • Werner Jammernegg

    ()
    (Vienna University of Economics and Business Administration, Department of Information Systems and Operations)

  • Peter Kischka

    ()
    (University of Jena, Faculty of Economics)

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    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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    File URL: http://www.wiwi.uni-jena.de/Papers/wp-sw0905.pdf
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    Bibliographic Info

    Paper provided by Friedrich-Schiller-Universität Jena, Wirtschaftswissenschaftliche Fakultät in its series Jenaer Schriften zur Wirtschaftswissenschaft with number 09/2005.

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    Date of creation: 08 Sep 2005
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    Handle: RePEc:jen:jenasw:2005-09

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    1. Robert Klein & Armin Scholl, 2004. "Software zur Entscheidungsanalyse - Eine Markt�bersicht," Jenaer Schriften zur Wirtschaftswissenschaft 19/2004, Friedrich-Schiller-Universität Jena, Wirtschaftswissenschaftliche Fakultät.
    2. Andreas Freytag & Dirk Schiereck & Thomas W. Thomas, 2005. "Consolidation and Market Power of Energy Utilities - The case of US-American and German Utility Takeovers," Jenaer Schriften zur Wirtschaftswissenschaft 07/2005, Friedrich-Schiller-Universität Jena, Wirtschaftswissenschaftliche Fakultät.
    3. Uwe Cantner & Jens J. Krüger & Kristina Von Rhein, 2009. "Knowledge and Creative Destruction over the Industry Life Cycle: The Case of the German Automobile Industry," Economica, London School of Economics and Political Science, vol. 76(301), pages 132-148, 02.
    4. Uwe Cantner & Jens J. Krüger, 2004. "Empirical Tools for the Analysis of Technological Heterogeneity and Change. Some Basic Building Blocks of "Evolumetrics"," Jenaer Schriften zur Wirtschaftswissenschaft 05/2004, Friedrich-Schiller-Universität Jena, Wirtschaftswissenschaftliche Fakultät.
    5. Roland Helm & Michael Steiner & Armin Scholl & Laura Manthey, 2004. "A Comparative Empirical Study on Common Methods for Measuring Preferences," Jenaer Schriften zur Wirtschaftswissenschaft 20/2004, Friedrich-Schiller-Universität Jena, Wirtschaftswissenschaftliche Fakultät.
    6. Uwe Cantner & Jens Kruger & Kristina von Rhein, 2011. "Knowledge compensation in the German automobile industry," Applied Economics, Taylor & Francis Journals, vol. 43(22), pages 2941-2951.
    7. Uwe Cantner & Kristina Dreßler & Jens J. Krüger, 2006. "Firm survival in the German automobile industry," Empirica, Springer, vol. 33(1), pages 49-60, March.
    8. Roland Helm & Michaela Ludl, 2004. "Kundenkarten als Kundenbindungsinstrument des Handels," Jenaer Schriften zur Wirtschaftswissenschaft 07/2004, Friedrich-Schiller-Universität Jena, Wirtschaftswissenschaftliche Fakultät.
    9. Roland Helm, 2004. "Export Market Entry Strategy and Success: Conceptual Framework and Empirical Examination," Jenaer Schriften zur Wirtschaftswissenschaft 06/2004, Friedrich-Schiller-Universität Jena, Wirtschaftswissenschaftliche Fakultät.
    10. Martin Kloyer & Roland Helm & Wolfgang Burr, 2004. "Compensation Preferences of R&D-Suppliers - Some Empirical Results," Jenaer Schriften zur Wirtschaftswissenschaft 13/2004, Friedrich-Schiller-Universität Jena, Wirtschaftswissenschaftliche Fakultät.
    11. Uwe Cantner & Werner Gueth & Andreas Nicklisch & Torsten Weiland, 2003. "Competition in Innovation and Imitation - A Theoretical and Experimental Study -," Papers on Strategic Interaction 2004-02, Max Planck Institute of Economics, Strategic Interaction Group.
    12. Andreas Freytag & Simon Renaud, 2004. "Langfristorientierung in der Arbeitsmarktpolitik," Jenaer Schriften zur Wirtschaftswissenschaft 23/2004, Friedrich-Schiller-Universität Jena, Wirtschaftswissenschaftliche Fakultät.
    13. Roland Helm & Reinhard Meckl & Nicole Sodeik, 2005. "Wissensmanagement - Ein Überblick zum Stand der empirischen Forschung," Jenaer Schriften zur Wirtschaftswissenschaft 04/2005, Friedrich-Schiller-Universität Jena, Wirtschaftswissenschaftliche Fakultät.
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    Cited by:
    1. Katja Poser & Maik Wagner, 2007. "Das Newsvendor Modell mit nicht-linearer Kostenfunktion und seine Anwendung bei nicht-proportionalen Rückversicherungsverträgen," Jena Research Papers in Business and Economics - Working and Discussion Papers 15/2007, Friedrich-Schiller-University Jena, School of Economics and Business Administration.

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