Optimal initial capital induced by the optimized certainty equivalent
Takuji Arai, Takao Asano, Katsumasa Nishide
| Year of publication: |
2019
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|---|---|
| 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
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| Subject: | Optimal initial capital | Optimized certainty equivalent | Monetary utility function | Prudence premium | Convex risk measure | Theorie | Theory | Nutzenfunktion | Utility function | Risiko | Risk | Risikoaversion | Risk aversion | Entscheidung unter Risiko | Decision under risk | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2019.01.006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011990619