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Modeling, Measuring and Managing Risk

Author

Listed:
  • Georg Ch Pflug

    (University of Vienna, Austria)

  • Werner Römisch

    (Humboldt-University Berlin, Germany)

Abstract

This book is the first in the market to treat single- and multi-period risk measures (risk functionals) in a thorough, comprehensive manner. It combines the treatment of properties of the risk measures with the related aspects of decision making under risk. The book introduces the theory of risk measures in a mathematically sound way. It contains properties, characterizations and representations of risk functionals for single-period and multi-period activities, and also shows the embedding of such functionals in decision models and the properties of these models.

Suggested Citation

  • Georg Ch Pflug & Werner Römisch, 2007. "Modeling, Measuring and Managing Risk," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 6478, November.
  • Handle: RePEc:wsi:wsbook:6478
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    File URL: http://www.worldscientific.com/worldscibooks/10.1142/6478
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    More about this item

    Keywords

    Risk Management; Risk Measures; Stochastic Optimization; Stochastic Models; Decision Making under Uncertainty;

    JEL classification:

    • G31 - Financial Economics - - Corporate Finance and Governance - - - Capital Budgeting; Fixed Investment and Inventory Studies
    • C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
    • B16 - Schools of Economic Thought and Methodology - - History of Economic Thought through 1925 - - - Quantitative and Mathematical

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