Certainty equivalents and information measures: Duality and extremal principles

DOI10.1016/0022-247X(91)90145-PzbMath0736.94004MaRDI QIDQ1177028

Marc Teboulle, Aharon Ben-Tal, Adi Ben-Israel

Publication date: 25 June 1992

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

zbMATH Keywords

distributionsexpected utilityrecourse certainty equivalentCsiszár's \(\phi\)-divergence between probabilitydecision theory under riskeconomics of riskranking random variablesYaari's certainty equivalent

Mathematics Subject Classification ID

Economics of information (91B44) Measures of information, entropy (94A17)

Related Items (15)

On robustness and efficiency of minimum divergence estimators ⋮ On differential Renyi's–Tsallis divergence measure and its applications ⋮ Perspective functions: properties, constructions, and examples ⋮ Duality and equilibrium prices in economics of uncertainty ⋮ Convex solutions of a functional equation arising in information theory ⋮ An inequality that subsumes the inequalities of Radon, Bohr, and Shannon ⋮ New formulas for the Legendre-Fenchel transform. ⋮ Properties and calculation of multivariate risk measures: MVaR and MCVaR ⋮ AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT ⋮ Robust Utility Maximization without Model Compactness ⋮ Deriving robust counterparts of nonlinear uncertain inequalities ⋮ Dislocation hyperbolic kernel function ⋮ Further results on positively homogeneous subadditive functions by using Csiszár f-divergence ⋮ On the dual of linear inverse problems ⋮ Synchronizing victim evacuation and debris removal: a data-driven robust prediction approach

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