Susanne, Klöppel; Martin, Schweizer - In: Statistics & Risk Modeling 25 (2007) 4/2007, pp. 25-25
We introduce and study no-good-deal valuation bounds defined in terms of expected utility. A utility-based good deal is a payoff whose expected utility is too high in comparison to the utility of its price. Forbidding good deals induces, via duality, restrictions on pricing kernels and thereby...