Optimal initial capital induced by the optimized certainty equivalent
Year of publication: |
2019
|
---|---|
Authors: | Arai, Takuji ; Asano, Takao ; Nishide, Katsumasa |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 85.2019, p. 115-125
|
Subject: | Optimal initial capital | Optimized certainty equivalent | Monetary utility function | Prudence premium | Convex risk measure | Theorie | Theory | Nutzenfunktion | Utility function | Risikoaversion | Risk aversion | Risiko | Risk |
-
Do recent stochastic tools help to better understand investors' preference and asset allocation?
Ciupac-Ulici, Maria-Lenuţa, (2014)
-
Risk preference evaluation : a fourth dimension of the application of the Laplace transform
Grubbström, Robert W., (2018)
-
On the concavity and quasiconcavity properties of (σ,μ) utility functions
Lajeri-Chaherli, Fatma, (2016)
- More ...
-
q-Optimal martingale measures for discrete time models
Arai, Takuji, (2008)
-
An approximate approach to the exponential utility indifference
Arai, Takuji, (2007)
-
How much can investors discount?
Arai, Takuji, (2011)
- More ...