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A Decision Rule Based on the Conditional Value at Risk

Author

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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 University of Jena, School of of Economics and Business Administration.
    • Handle: RePEc:jen:jenasw:2005-09
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