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 | Risiko | Risk | Risikoaversion | Risk aversion | Entscheidung unter Risiko | Decision under risk | Portfolio-Management | Portfolio selection |
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