Geissel, Sebastian; Sass, Jörn; Seifried, Frank Thomas - In: Statistics & Risk Modeling 35 (2018) 1-2, pp. 73-87
Abstract This paper introduces optimal expected utility (OEU) risk measures,
investigates their main properties and … puts them in perspective to alternative risk
measures and notions of certainty equivalents.
By taking the investor’s point … best of our knowledge, OEU is the only existing utility-based risk measure that is (non-trivial and) coherent if the …