Eckwert, Bernhard (contributor); Zilcha, Itzhak (contributor) - 2001 - [Elektronische Ressource]
concave functions, F, the inequality is reversed, and for
linear functions it holds with equality.
3 Information in the …˜h,ˆs(˜h)parenrightbigˆνy(A)dA
bracketrightbigg
= αV(¯νy) + (1−α)V(ˆνy).
The inequality holds because (e(¯νy),¯s(h)) and (e(ˆνy),ˆs(h)) maximize expected
utility, if …(ˆνyprime)parenrightbigρ dˆµ(yprime) = Ht(ˆνA)/δαt ˆg(Ht−1) (32)
In (32) the first inequality follows from the co-monotonicity assumption and the …