Optimal initial capital induced by the optimized certainty equivalent

Takuji Arai, Takao Asano, Katsumasa Nishide

研究成果: Article査読

抄録

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.

本文言語English
ページ(範囲)115-125
ページ数11
ジャーナルInsurance: Mathematics and Economics
85
DOI
出版ステータスPublished - 2019 3月

ASJC Scopus subject areas

  • 統計学および確率
  • 経済学、計量経済学
  • 統計学、確率および不確実性

フィンガープリント

「Optimal initial capital induced by the optimized certainty equivalent」の研究トピックを掘り下げます。これらがまとまってユニークなフィンガープリントを構成します。

引用スタイル