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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)

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.

Suggested Citation

  • Werner Jammernegg & Peter Kischka, 2005. "A Decision Rule Based on the Conditional Value at Risk," Jenaer Schriften zur Wirtschaftswissenschaft (Expired!) 09/2005, Friedrich-Schiller-Universität Jena, Wirtschaftswissenschaftliche Fakultät.
  • Handle: RePEc:jen:jenasw:2005-09
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    References listed on IDEAS

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    1. U. Cantner & J.J. Krüger, 2007. "Empirical Tools for the Analysis of Technological Heterogeneity and Change: Some Basic Building Blocks of ‘Evolumetrics'," Chapters,in: Elgar Companion to Neo-Schumpeterian Economics, chapter 30 Edward Elgar Publishing.
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    6. Martin Kloyer & Roland Helm & Wolfgang Burr, 2004. "Compensation Preferences of R&D-Suppliers - Some Empirical Results," Jenaer Schriften zur Wirtschaftswissenschaft (Expired!) 13/2004, Friedrich-Schiller-Universität Jena, Wirtschaftswissenschaftliche Fakultät.
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    10. Roland Helm, 2004. "Export Market Entry Strategy and Success: Conceptual Framework and Empirical Examination," Jenaer Schriften zur Wirtschaftswissenschaft (Expired!) 06/2004, 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 (Expired!) 15/2007, Friedrich-Schiller-University Jena, School of Economics and Business Administration.

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