Concepedia

Risk-sensitive Value Functions

Risk-Sensitive Value Functions is a mathematical framework in decision theory that extends classical value functions by incorporating preferences over risk through sensitivity parameters, thereby modeling how agents evaluate stochastic outcomes differently based on their risk attitudes.

230

Publications

13.1K

Citations

418

Authors

285

Institutions

Publications per year

2017–2026

43

Parents

Publications

230

Mathematical Methods in Risk Theory.

R. E. Beard, H. Buhlmann · Journal of the Royal Statistical Society Series A (General) · 1971 · 508 citations

, , +14

The Fundamental Theorem of Parameter-Preference Security Valuation

Mark Rubinstein · Journal of Financial and Quantitative Analysis · 1973 · 469 citations

, , +17

Measuring Marginal Utility by Reactions to Risk

William Vickrey · Econometrica · 1945 · 432 citations

, , +12

Coherent multiperiod risk adjusted values and Bellman’s principle

Philippe Artzner, Freddy Delbaen, Jean‐Marc Eber et al. · Annals of Operations Research · 2006 · 426 citations

, , +11

Value-at-risk versus expected shortfall: A practical perspective

Yasuhiro Yamai, Toshinao Yoshiba · Journal of Banking & Finance · 2004 · 337 citations

, , +14

1–5 of 230

Authors

418

  1. AB
    Alejandro Balbás

    Universidad Carlos III de Madrid, Spain

    4 publications · 109 citations

    4

    h-index

  2. RB
    Raquel Balbás

    Universidad Carlos III de Madrid, Spain

    4 publications · 109 citations

    4

    h-index

  3. VS
    Vivek S. Borkar

    Tata Institute of Fundamental Research, India

    4 publications · 108 citations

    4

    h-index

  4. PK
    Peter Kischka

    Friedrich Schiller University Jena, Germany

    3 publications · 122 citations

    3

    h-index

  5. RW
    Ruodu Wang

    University of Waterloo, Canada

    3 publications · 113 citations

    3

    h-index

1–5 of 418

Institutions

285

  1. Vienna University of Economics and Business

    Vienna, Austria

    6 h-index

    8 publications

    258 citations

  2. Princeton University

    Princeton, United States

    5 h-index

    5 publications

    364 citations

  3. University of Waterloo

    Waterloo, Canada

    4 h-index

    8 publications

    293 citations

  4. Universidad Carlos III de Madrid

    Madrid, Spain

    4 h-index

    4 publications

    109 citations

  5. Wuhan University

    Wuhan, China

    4 h-index

    6 publications

    120 citations

  6. London School of Economics and Political Science

    London, United Kingdom

    3 h-index

    3 publications

    97 citations

  7. Indian Institute of Technology Bombay

    Mumbai, India

    3 h-index

    4 publications

    77 citations

  8. University of Cambridge

    Cambridge, United Kingdom

    3 h-index

    5 publications

    1.1K citations

1–8 of 285

Venues

  1. European Journal of Operational Research

    11 publications · 668 citations

    11

    h-index

  2. SSRN Electronic Journal

    Repository · 6 publications · 195 citations

    6

    h-index

  3. Finance and Stochastics

    6 publications · 609 citations

    6

    h-index

  4. Management Science

    6 publications · 624 citations

    6

    h-index

  5. Journal of Risk and Uncertainty

    6 publications · 365 citations

    6

    h-index

1–5