Klöppel, Susanne; Schweizer, Martin - In: Statistics & Decisions 25 (2007) 4, pp. 285-309
Summary 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...