Hwai-Chung Ho, Hung-Yin Chen, Henghsiu Tsai, NON-PARAMETRIC ESTIMATION OF CONDITIONAL TAIL EXPECTATION FOR LONG-HORIZON RETURNS, Statistica Sinica, Vol. 31, No. 1 (2021), pp. 547-569 ...

Foundations in distortion risk measures and tail conditional expectation (TCE) have been extended through multivariate approaches, which better capture the dependency structures inherent in modern ...

In violation of this assumption, we present eight experiments showing that people anticipate less utility from uncertain outcomes than from certain outcomes, even conditional on their realization.