Optimal initial capital induced by the optimized certainty equivalent

Takuji Arai, Takao Asano, Katsumasa Nishide

研究成果: Article

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This paper proposes the notion of optimal initial capital (OIC) induced by the optimized certainty equivalent (OCE), as discussed in Ben-Tal and Teboulle (1986) and Ben-Tal and Teboulle (2007). It also investigates the properties of the OIC with various types of utility functions. It is shown that the OIC can be a monetary utility function (negative value of risk measure) for future payoffs with the decision maker's concrete criteria in the background.

元の言語English
ページ(範囲)115-125
ページ数11
ジャーナルInsurance: Mathematics and Economics
85
DOI
出版物ステータスPublished - 2019 3

ASJC Scopus subject areas

  • Statistics and Probability
  • Economics and Econometrics
  • Statistics, Probability and Uncertainty

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